Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daishi Hokuetsu Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Daishi Hokuetsu Financial Group, Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 26.3%, MDD -28.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.5%, drawdown -66.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 26.3%, MDD -28.5%, Sharpe 1.07, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 38.2%p (CAGR 26.3%, MDD -28.5%, exposure 67%).
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=49, slow=190 |
26.3% | -28.5% | 1.07 | 0.92 | 6.3x | 3 | 67% |
| SMA 크로스오버 fast=21, slow=213 |
22.0% | -28.5% | 0.93 | 0.77 | 4.8x | 9 | 68% |
| ROC 모멘텀 n=144, threshold=0.05 |
18.6% | -39.0% | 0.85 | 0.48 | 3.9x | 51 | 59% |
| Donchian 채널 돌파 entryN=55, exitN=79 |
17.3% | -30.6% | 0.78 | 0.57 | 3.5x | 9 | 71% |
| Supertrend period=29, mult=3 |
14.0% | -30.4% | 0.73 | 0.46 | 2.8x | 51 | 53% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=19, mult=2.7 |
5.6% | -30.0% | 0.43 | 0.19 | 1.5x | 35 | 32% |
| 볼린저 밴드 돌파 n=33, k=1.3 |
4.3% | -38.5% | 0.32 | 0.11 | 1.4x | 67 | 46% |
| MACD fast=17, slow=46, signal=17 |
4.5% | -37.6% | 0.32 | 0.12 | 1.4x | 81 | 56% |
| ADX / DI 방향성 period=32, threshold=23 |
1.6% | -28.8% | 0.18 | 0.06 | 1.1x | 22 | 16% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-3.4% | -51.0% | -0.05 | -0.07 | 0.8x | 179 | 55% |
| Buy and hold | 14.5% | -66.7% | 0.60 | 0.22 | 2.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 190-day EMA
- Sell — Sell when the 49-day EMA falls below the 190-day EMA