Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Shimano Inc. backtest
10 trend-following strategies were compared on the full daily history of Shimano Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.8%, drawdown -58.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.6%, MDD -52.2%, Sharpe 0.31, 63% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=46, slow=198 |
4.6% | -52.2% | 0.31 | 0.09 | 3.2x | 37 | 63% |
| SMA 크로스오버 fast=23, slow=263 |
4.4% | -58.4% | 0.30 | 0.08 | 3.0x | 47 | 63% |
| ADX / DI 방향성 period=26, threshold=24 |
1.9% | -21.2% | 0.29 | 0.09 | 1.6x | 25 | 8% |
| Donchian 채널 돌파 entryN=80, exitN=65 |
1.2% | -61.3% | 0.16 | 0.02 | 1.4x | 51 | 53% |
| 볼린저 밴드 돌파 n=20, k=3 |
0.0% | -31.4% | 0.04 | 0.00 | 1.0x | 48 | 7% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=37, mult=3.9 |
-0.6% | -48.9% | 0.02 | -0.01 | 0.9x | 69 | 22% |
| ROC 모멘텀 n=111, threshold=-0.03 |
-2.8% | -79.8% | 0.01 | -0.04 | 0.5x | 267 | 69% |
| MACD fast=18, slow=44, signal=17 |
-5.6% | -81.3% | -0.15 | -0.07 | 0.2x | 316 | 51% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-7.0% | -87.5% | -0.20 | -0.08 | 0.2x | 312 | 53% |
| Supertrend period=27, mult=3.1 |
-8.1% | -90.6% | -0.24 | -0.09 | 0.1x | 233 | 58% |
| Buy and hold | 8.8% | -58.9% | 0.42 | 0.15 | 8.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 198-day EMA
- Sell — Sell when the 46-day EMA falls below the 198-day EMA