Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yonex Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yonex Co., Ltd.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.5%, MDD -54.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.8%, drawdown -76.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.5%, MDD -54.5%, Sharpe 0.64, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 22.4%p (CAGR 15.5%, MDD -54.5%, exposure 55%).
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=21, slow=307 |
15.5% | -54.5% | 0.64 | 0.28 | 39.8x | 30 | 55% |
| SMA 크로스오버 fast=45, slow=188 |
11.0% | -74.9% | 0.50 | 0.15 | 14.3x | 36 | 57% |
| Donchian 채널 돌파 entryN=14, exitN=73 |
11.7% | -75.6% | 0.50 | 0.15 | 16.9x | 77 | 79% |
| ADX / DI 방향성 period=32, threshold=21 |
3.9% | -46.1% | 0.31 | 0.08 | 2.7x | 44 | 14% |
| MACD fast=33, slow=43, signal=21 |
4.8% | -72.6% | 0.31 | 0.07 | 3.3x | 231 | 48% |
| ROC 모멘텀 n=129, threshold=0.11 |
4.5% | -74.8% | 0.30 | 0.06 | 3.1x | 200 | 37% |
| 볼린저 밴드 돌파 n=64, k=2.4 |
3.8% | -58.8% | 0.28 | 0.06 | 2.6x | 84 | 33% |
| Supertrend period=14, mult=5 |
3.8% | -77.5% | 0.27 | 0.05 | 2.6x | 106 | 54% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=23, mult=3.7 |
3.2% | -48.8% | 0.25 | 0.07 | 2.2x | 76 | 24% |
| Parabolic SAR step=0.015, maxStep=0.2 |
1.3% | -77.0% | 0.18 | 0.02 | 1.4x | 369 | 49% |
| Buy and hold | 13.8% | -76.9% | 0.53 | 0.18 | 27.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 21-day EMA crosses above the 307-day EMA
- Sell — Sell when the 21-day EMA falls below the 307-day EMA