Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Asics Corporation backtest
10 trend-following strategies were compared on the full daily history of Asics 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 20.2%, MDD -48.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.8%, drawdown -81.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.2%, MDD -48.9%, Sharpe 0.73, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 32.5%p (CAGR 20.2%, MDD -48.9%, exposure 64%).
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=44, slow=158 |
20.2% | -48.9% | 0.73 | 0.41 | 111.0x | 33 | 64% |
| EMA 크로스오버 fast=16, slow=217 |
19.7% | -53.7% | 0.72 | 0.37 | 99.4x | 39 | 66% |
| ROC 모멘텀 n=134, threshold=0 |
15.6% | -74.7% | 0.61 | 0.21 | 40.7x | 187 | 66% |
| Donchian 채널 돌파 entryN=88, exitN=75 |
14.4% | -57.0% | 0.59 | 0.25 | 30.9x | 37 | 64% |
| ADX / DI 방향성 period=36, threshold=17 |
6.7% | -54.5% | 0.41 | 0.12 | 5.2x | 76 | 26% |
| Supertrend period=11, mult=4.9 |
7.3% | -84.6% | 0.38 | 0.09 | 6.1x | 99 | 59% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=22, mult=4 |
2.6% | -19.4% | 0.36 | 0.13 | 1.9x | 26 | 5% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
2.7% | -18.7% | 0.33 | 0.14 | 2.0x | 26 | 6% |
| MACD fast=15, slow=48, signal=9 |
2.4% | -85.3% | 0.23 | 0.03 | 1.8x | 399 | 49% |
| Parabolic SAR step=0.01, maxStep=0.14 |
0.8% | -82.0% | 0.18 | 0.01 | 1.2x | 323 | 53% |
| Buy and hold | 22.8% | -81.5% | 0.70 | 0.28 | 193.1x | 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 44-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 44-day average falls below the 158-day average