Trend-Following Backtester · Guide · backtest 한국어
equity · JP
H2O Retailing Corporation backtest
10 trend-following strategies were compared on the full daily history of H2O Retailing Corporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.3%, MDD -43.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.9%, drawdown -79.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.1%, MDD -49.9%, Sharpe 0.33, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 4.3%, MDD -43.1%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=57, slow=189 |
5.1% | -49.9% | 0.33 | 0.10 | 3.6x | 27 | 55% |
| SMA 크로스오버 fast=45, slow=190 |
4.3% | -43.1% | 0.30 | 0.10 | 2.9x | 39 | 53% |
| Donchian 채널 돌파 entryN=18, exitN=56 |
2.5% | -70.0% | 0.23 | 0.04 | 1.9x | 79 | 75% |
| MACD fast=20, slow=35, signal=19 |
1.1% | -73.3% | 0.16 | 0.02 | 1.3x | 282 | 53% |
| Supertrend period=15, mult=3.5 |
0.8% | -66.6% | 0.15 | 0.01 | 1.2x | 156 | 54% |
| ROC 모멘텀 n=111, threshold=0 |
0.1% | -66.5% | 0.12 | 0.00 | 1.0x | 235 | 55% |
| 볼린저 밴드 돌파 n=11, k=3 |
0.2% | -7.4% | 0.10 | 0.03 | 1.1x | 4 | 0% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=13, mult=0.8 |
-1.4% | -72.0% | 0.03 | -0.02 | 0.7x | 266 | 47% |
| ADX / DI 방향성 period=24, threshold=29 |
-0.3% | -28.4% | -0.01 | -0.01 | 0.9x | 22 | 4% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-4.1% | -91.5% | -0.07 | -0.04 | 0.3x | 440 | 52% |
| Buy and hold | 3.9% | -79.4% | 0.28 | 0.05 | 2.7x | 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 189-day EMA
- Sell — Sell when the 57-day EMA falls below the 189-day EMA