Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Canon Marketing Japan Incorporated backtest
10 trend-following strategies were compared on the full daily history of Canon Marketing Japan Incorporated. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -44.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.0%, drawdown -71.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.2%, MDD -46.3%, Sharpe 0.51, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 8.1%, MDD -44.5%, exposure 59%).
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=57, slow=213 |
8.2% | -46.3% | 0.51 | 0.18 | 7.6x | 25 | 59% |
| SMA 크로스오버 fast=22, slow=207 |
8.1% | -44.5% | 0.50 | 0.18 | 7.3x | 35 | 59% |
| ROC 모멘텀 n=193, threshold=0.01 |
6.0% | -53.0% | 0.40 | 0.11 | 4.5x | 155 | 59% |
| Donchian 채널 돌파 entryN=90, exitN=76 |
4.9% | -63.4% | 0.35 | 0.08 | 3.4x | 35 | 58% |
| ADX / DI 방향성 period=21, threshold=47 |
0.4% | -1.8% | 0.34 | 0.24 | 1.1x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=3.3 |
1.5% | -42.3% | 0.18 | 0.03 | 1.5x | 76 | 32% |
| Supertrend period=25, mult=4.8 |
0.6% | -77.0% | 0.13 | 0.01 | 1.2x | 88 | 60% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
0.7% | -44.8% | 0.12 | 0.02 | 1.2x | 114 | 39% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-4.1% | -74.4% | -0.11 | -0.05 | 0.3x | 333 | 53% |
| MACD fast=10, slow=50, signal=15 |
-4.0% | -71.7% | -0.11 | -0.06 | 0.4x | 375 | 51% |
| Buy and hold | 7.0% | -71.6% | 0.38 | 0.10 | 5.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 57-day EMA crosses above the 213-day EMA
- Sell — Sell when the 57-day EMA falls below the 213-day EMA