Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Gunma Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Gunma Bank, Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.1%, MDD -39.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.5%, drawdown -72.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -53.6%, Sharpe 0.47, 52% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 6.1%, MDD -39.5%, exposure 29%).
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=20, slow=227 |
8.2% | -53.6% | 0.47 | 0.15 | 7.6x | 47 | 52% |
| EMA 크로스오버 fast=28, slow=188 |
7.3% | -54.6% | 0.43 | 0.13 | 6.1x | 45 | 52% |
| ROC 모멘텀 n=148, threshold=0.13 |
6.1% | -39.5% | 0.43 | 0.15 | 4.6x | 131 | 29% |
| Donchian 채널 돌파 entryN=100, exitN=37 |
3.0% | -46.1% | 0.26 | 0.07 | 2.2x | 45 | 29% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=3.8 |
2.8% | -45.9% | 0.26 | 0.06 | 2.0x | 57 | 22% |
| 볼린저 밴드 돌파 n=27, k=3.2 |
1.8% | -29.2% | 0.26 | 0.06 | 1.6x | 24 | 6% |
| Supertrend period=18, mult=4.9 |
1.7% | -80.4% | 0.19 | 0.02 | 1.5x | 79 | 54% |
| ADX / DI 방향성 period=23, threshold=37 |
0.6% | -11.5% | 0.18 | 0.05 | 1.2x | 6 | 1% |
| MACD fast=21, slow=72, signal=25 |
-8.1% | -95.1% | -0.28 | -0.08 | 0.1x | 259 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-9.6% | -95.6% | -0.35 | -0.10 | 0.1x | 351 | 52% |
| Buy and hold | 6.5% | -72.2% | 0.36 | 0.09 | 5.1x | 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 20-day average price crosses above the 227-day average
- Sell — Sell (to cash) when the 20-day average falls below the 227-day average