Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Lintec Corporation backtest
10 trend-following strategies were compared on the full daily history of Lintec Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.3%, MDD -38.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.3%, drawdown -72.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -54.8%, Sharpe 0.49, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 8.3%, MDD -38.6%, exposure 60%).
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=37, slow=195 |
8.6% | -54.8% | 0.49 | 0.16 | 8.2x | 37 | 57% |
| EMA 크로스오버 fast=27, slow=273 |
8.3% | -38.6% | 0.48 | 0.22 | 7.7x | 29 | 60% |
| Donchian 채널 돌파 entryN=91, exitN=50 |
6.8% | -38.5% | 0.47 | 0.18 | 5.4x | 41 | 41% |
| ADX / DI 방향성 period=38, threshold=12 |
6.2% | -30.0% | 0.46 | 0.21 | 4.7x | 110 | 31% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
4.9% | -43.3% | 0.40 | 0.11 | 3.4x | 74 | 29% |
| ROC 모멘텀 n=83, threshold=-0.14 |
5.7% | -68.0% | 0.35 | 0.08 | 4.1x | 113 | 87% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=20, mult=2.5 |
4.4% | -49.4% | 0.34 | 0.09 | 3.0x | 94 | 35% |
| Supertrend period=26, mult=3.9 |
0.8% | -68.0% | 0.14 | 0.01 | 1.2x | 126 | 59% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.2% | -65.8% | 0.09 | -0.00 | 1.0x | 212 | 53% |
| MACD fast=13, slow=49, signal=19 |
-5.8% | -89.5% | -0.20 | -0.06 | 0.2x | 338 | 51% |
| Buy and hold | 7.3% | -72.1% | 0.39 | 0.10 | 6.0x | 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 37-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 37-day average falls below the 195-day average