Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Happinet Corporation backtest
10 trend-following strategies were compared on the full daily history of Happinet Corporation. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.7%, MDD -35.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.5%, drawdown -75.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.8%, MDD -51.1%, Sharpe 0.63, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 24.7%p (CAGR 9.7%, MDD -35.0%, exposure 26%).
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=56, slow=205 |
13.8% | -51.1% | 0.63 | 0.27 | 28.2x | 25 | 52% |
| Donchian 채널 돌파 entryN=157, exitN=67 |
11.4% | -46.1% | 0.57 | 0.25 | 16.2x | 25 | 38% |
| SMA 크로스오버 fast=26, slow=164 |
12.3% | -64.1% | 0.57 | 0.19 | 19.8x | 41 | 53% |
| ADX / DI 방향성 period=23, threshold=19 |
9.7% | -35.0% | 0.54 | 0.28 | 10.8x | 129 | 26% |
| 볼린저 밴드 돌파 n=26, k=3.3 |
7.2% | -32.2% | 0.52 | 0.22 | 6.0x | 49 | 12% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=15, mult=3.1 |
7.3% | -39.3% | 0.49 | 0.19 | 6.2x | 79 | 16% |
| ROC 모멘텀 n=91, threshold=-0.02 |
7.7% | -78.1% | 0.40 | 0.10 | 6.7x | 221 | 57% |
| Supertrend period=7, mult=5 |
7.2% | -67.7% | 0.39 | 0.11 | 6.0x | 89 | 55% |
| MACD fast=22, slow=39, signal=31 |
3.4% | -69.0% | 0.26 | 0.05 | 2.4x | 215 | 51% |
| Parabolic SAR step=0.01, maxStep=0.32 |
1.5% | -73.7% | 0.19 | 0.02 | 1.5x | 311 | 51% |
| Buy and hold | 9.5% | -75.7% | 0.43 | 0.13 | 10.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 205-day EMA
- Sell — Sell when the 56-day EMA falls below the 205-day EMA