Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Workman Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Workman Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.6%, MDD -50.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.5%, drawdown -81.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -47.4%, Sharpe 0.36, 35% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 10.6%, MDD -50.9%, exposure 35%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 34.5%p (CAGR 10.6%, MDD -50.9%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=77, slow=279 |
6.4% | -47.4% | 0.36 | 0.14 | 5.2x | 15 | 35% |
| EMA 크로스오버 fast=52, slow=289 |
6.3% | -47.4% | 0.36 | 0.13 | 5.1x | 13 | 31% |
| ROC 모멘텀 n=296, threshold=-0.05 |
10.2% | -69.0% | 0.22 | 0.15 | 13.2x | 87 | 67% |
| Donchian 채널 돌파 entryN=60, exitN=49 |
9.1% | -63.1% | 0.21 | 0.14 | 10.2x | 44 | 63% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=17, mult=3.6 |
10.6% | -50.9% | 0.20 | 0.21 | 14.4x | 52 | 35% |
| ADX / DI 방향성 period=14, threshold=37 |
1.4% | -28.3% | 0.19 | 0.05 | 1.5x | 42 | 5% |
| MACD fast=21, slow=44, signal=22 |
-0.6% | -96.6% | 0.17 | -0.01 | 0.8x | 208 | 65% |
| Parabolic SAR step=0.05, maxStep=0.12 |
-3.2% | -96.5% | 0.16 | -0.03 | 0.4x | 467 | 65% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
-0.9% | -69.7% | 0.07 | -0.01 | 0.8x | 50 | 15% |
| Supertrend period=6, mult=4.8 |
-5.3% | -88.8% | -0.02 | -0.06 | 0.2x | 88 | 36% |
| Buy and hold | 10.5% | -81.9% | 0.23 | 0.13 | 14.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 77-day average price crosses above the 279-day average
- Sell — Sell (to cash) when the 77-day average falls below the 279-day average