Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SEIKO GROUP CORPORATION backtest
10 trend-following strategies were compared on the full daily history of SEIKO GROUP CORPORATION. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.8%, MDD -50.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.1%, drawdown -87.1%).
Sharpe leader (same as main): Supertrend — CAGR 18.9%, MDD -54.3%, Sharpe 0.72, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 19.6%, MDD -59.8%, exposure 65%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 15.8%, MDD -50.6%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=3.9 |
18.9% | -54.3% | 0.72 | 0.35 | 85.5x | 123 | 54% |
| Donchian 채널 돌파 entryN=22, exitN=46 |
19.6% | -59.8% | 0.70 | 0.33 | 98.3x | 79 | 65% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=27, mult=1.1 |
15.6% | -50.7% | 0.64 | 0.31 | 41.3x | 175 | 46% |
| EMA 크로스오버 fast=15, slow=214 |
15.8% | -50.6% | 0.62 | 0.31 | 43.0x | 45 | 53% |
| SMA 크로스오버 fast=4, slow=76 |
15.4% | -57.7% | 0.62 | 0.27 | 39.7x | 147 | 52% |
| 볼린저 밴드 돌파 n=22, k=1.6 |
13.5% | -50.7% | 0.61 | 0.27 | 25.8x | 249 | 36% |
| ADX / DI 방향성 period=21, threshold=11 |
14.2% | -50.6% | 0.60 | 0.28 | 29.9x | 315 | 48% |
| ROC 모멘텀 n=67, threshold=0.02 |
14.2% | -57.3% | 0.59 | 0.25 | 30.5x | 269 | 50% |
| MACD fast=18, slow=47, signal=12 |
11.4% | -72.1% | 0.51 | 0.16 | 16.1x | 303 | 52% |
| Parabolic SAR step=0.015, maxStep=0.02 |
11.3% | -61.7% | 0.50 | 0.18 | 15.5x | 139 | 52% |
| Buy and hold | 10.1% | -87.1% | 0.44 | 0.12 | 11.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)