Trend-Following Backtester · Guide · backtest 한국어
equity · JP
IWATANI Corporation backtest
10 trend-following strategies were compared on the full daily history of IWATANI Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.4%, drawdown -62.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -49.8%, Sharpe 0.47, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=40, slow=269 |
8.7% | -49.8% | 0.47 | 0.18 | 8.6x | 25 | 59% |
| EMA 크로스오버 fast=69, slow=183 |
8.2% | -58.9% | 0.45 | 0.14 | 7.5x | 27 | 59% |
| 볼린저 밴드 돌파 n=29, k=2.7 |
3.4% | -37.3% | 0.30 | 0.09 | 2.4x | 83 | 20% |
| ADX / DI 방향성 period=25, threshold=27 |
2.8% | -31.6% | 0.29 | 0.09 | 2.1x | 42 | 11% |
| Supertrend period=10, mult=4.8 |
3.2% | -61.8% | 0.25 | 0.05 | 2.3x | 81 | 55% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=12, mult=3.7 |
2.8% | -42.4% | 0.25 | 0.07 | 2.0x | 59 | 23% |
| Donchian 채널 돌파 entryN=39, exitN=92 |
3.2% | -77.8% | 0.25 | 0.04 | 2.2x | 51 | 71% |
| ROC 모멘텀 n=72, threshold=0.17 |
0.3% | -35.2% | 0.09 | 0.01 | 1.1x | 160 | 16% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-2.2% | -79.5% | 0.01 | -0.03 | 0.6x | 189 | 52% |
| MACD fast=15, slow=47, signal=18 |
-2.8% | -68.8% | -0.03 | -0.04 | 0.5x | 309 | 51% |
| Buy and hold | 8.4% | -62.1% | 0.42 | 0.13 | 7.9x | 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 40-day average price crosses above the 269-day average
- Sell — Sell (to cash) when the 40-day average falls below the 269-day average