Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sanrio Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sanrio Co. Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.5%, MDD -59.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.2%, drawdown -80.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -62.8%, Sharpe 0.61, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 14.5%, MDD -59.3%, exposure 51%).
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=13, slow=216 |
14.6% | -62.8% | 0.61 | 0.23 | 32.8x | 45 | 52% |
| EMA 크로스오버 fast=22, slow=179 |
14.5% | -59.3% | 0.61 | 0.24 | 31.8x | 43 | 51% |
| 볼린저 밴드 돌파 n=20, k=1.9 |
11.7% | -60.3% | 0.59 | 0.19 | 16.8x | 235 | 33% |
| ROC 모멘텀 n=145, threshold=-0.01 |
14.0% | -61.1% | 0.59 | 0.23 | 28.3x | 149 | 54% |
| Donchian 채널 돌파 entryN=60, exitN=66 |
13.9% | -61.9% | 0.58 | 0.22 | 28.1x | 47 | 60% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=27, mult=3.1 |
7.1% | -40.4% | 0.47 | 0.18 | 5.8x | 99 | 17% |
| Supertrend period=27, mult=3.1 |
8.0% | -66.4% | 0.42 | 0.12 | 7.1x | 209 | 51% |
| Parabolic SAR step=0.02, maxStep=0.28 |
7.3% | -73.6% | 0.39 | 0.10 | 6.0x | 489 | 50% |
| ADX / DI 방향성 period=18, threshold=13 |
5.0% | -77.1% | 0.32 | 0.07 | 3.5x | 383 | 45% |
| MACD fast=16, slow=52, signal=19 |
4.4% | -84.2% | 0.29 | 0.05 | 3.0x | 277 | 52% |
| Buy and hold | 9.2% | -80.9% | 0.42 | 0.11 | 9.5x | 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 13-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 13-day average falls below the 216-day average