Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Shimadzu Corporation backtest
10 trend-following strategies were compared on the full daily history of Shimadzu Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.9%, MDD -34.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -65.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -34.6%, Sharpe 0.49, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 31.2%p (CAGR 8.9%, MDD -34.6%, exposure 57%).
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=38, slow=72 |
8.9% | -34.6% | 0.49 | 0.26 | 8.8x | 77 | 57% |
| Supertrend period=26, mult=4.4 |
6.9% | -54.6% | 0.41 | 0.13 | 5.6x | 101 | 56% |
| 볼린저 밴드 돌파 n=65, k=1.8 |
5.9% | -35.0% | 0.40 | 0.17 | 4.3x | 87 | 39% |
| Donchian 채널 돌파 entryN=62, exitN=52 |
6.1% | -39.4% | 0.38 | 0.15 | 4.5x | 56 | 54% |
| EMA 크로스오버 fast=37, slow=62 |
5.5% | -45.9% | 0.35 | 0.12 | 3.9x | 73 | 59% |
| ROC 모멘텀 n=65, threshold=-0.04 |
4.9% | -59.6% | 0.32 | 0.08 | 3.4x | 243 | 67% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=21, mult=3.2 |
2.1% | -45.0% | 0.22 | 0.05 | 1.7x | 86 | 23% |
| ADX / DI 방향성 period=32, threshold=18 |
1.0% | -50.4% | 0.14 | 0.02 | 1.3x | 80 | 20% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.4% | -69.7% | 0.00 | -0.03 | 0.5x | 209 | 54% |
| MACD fast=17, slow=38, signal=17 |
-4.8% | -75.8% | -0.12 | -0.06 | 0.3x | 320 | 52% |
| Buy and hold | 9.7% | -65.9% | 0.45 | 0.15 | 10.6x | 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 38-day average price crosses above the 72-day average
- Sell — Sell (to cash) when the 38-day average falls below the 72-day average