Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Unicharm Corporation backtest
10 trend-following strategies were compared on the full daily history of Unicharm Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.7%, MDD -35.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.1%, drawdown -55.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.5%, MDD -56.7%, Sharpe 0.39, 84% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by -1.6%p (CAGR 5.7%, MDD -35.4%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=124, threshold=-0.11 |
6.5% | -56.7% | 0.39 | 0.11 | 5.0x | 115 | 84% |
| EMA 크로스오버 fast=45, slow=205 |
5.7% | -35.4% | 0.37 | 0.16 | 4.1x | 28 | 67% |
| SMA 크로스오버 fast=33, slow=204 |
4.7% | -34.8% | 0.33 | 0.14 | 3.3x | 39 | 63% |
| Donchian 채널 돌파 entryN=85, exitN=63 |
2.0% | -60.0% | 0.20 | 0.03 | 1.7x | 45 | 57% |
| Supertrend period=8, mult=4.7 |
0.6% | -63.1% | 0.13 | 0.01 | 1.2x | 95 | 57% |
| 볼린저 밴드 돌파 n=11, k=3 |
0.0% | -3.2% | 0.05 | 0.01 | 1.0x | 4 | 0% |
| ADX / DI 방향성 period=43, threshold=25 |
0.1% | -14.9% | 0.05 | 0.01 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=2.9 |
-2.8% | -62.5% | -0.14 | -0.04 | 0.5x | 110 | 31% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-5.0% | -74.5% | -0.18 | -0.07 | 0.3x | 210 | 54% |
| MACD fast=15, slow=45, signal=18 |
-5.6% | -78.6% | -0.24 | -0.07 | 0.2x | 316 | 51% |
| Buy and hold | 6.1% | -55.2% | 0.36 | 0.11 | 4.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 124-day return is greater than -11%
- Sell — Sell when the 124-day return drops to -11% or below