Trend-Following Backtester · Guide · backtest 한국어
equity · JP
77 Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of 77 Bank, Ltd.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.9%, MDD -44.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.7%, drawdown -77.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.9%, MDD -44.1%, Sharpe 0.59, 48% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 10.9%, MDD -44.1%, exposure 48%).
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=82, slow=281 |
10.9% | -44.1% | 0.59 | 0.25 | 14.1x | 7 | 48% |
| ADX / DI 방향성 period=27, threshold=32 |
2.2% | -12.9% | 0.40 | 0.17 | 1.8x | 6 | 2% |
| SMA 크로스오버 fast=34, slow=185 |
5.3% | -66.1% | 0.34 | 0.08 | 3.8x | 47 | 52% |
| 볼린저 밴드 돌파 n=30, k=3 |
2.7% | -31.2% | 0.30 | 0.09 | 2.0x | 46 | 12% |
| Donchian 채널 돌파 entryN=63, exitN=73 |
3.1% | -66.8% | 0.25 | 0.05 | 2.2x | 45 | 54% |
| ROC 모멘텀 n=144, threshold=0.02 |
1.8% | -73.5% | 0.19 | 0.02 | 1.6x | 199 | 49% |
| Supertrend period=13, mult=5 |
1.7% | -69.2% | 0.19 | 0.02 | 1.5x | 83 | 52% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=26, mult=4 |
1.3% | -58.5% | 0.16 | 0.02 | 1.4x | 62 | 27% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.6% | -84.5% | -0.10 | -0.05 | 0.3x | 226 | 53% |
| MACD fast=17, slow=37, signal=17 |
-8.1% | -92.7% | -0.27 | -0.09 | 0.1x | 344 | 52% |
| Buy and hold | 4.7% | -77.9% | 0.30 | 0.06 | 3.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 82-day EMA crosses above the 281-day EMA
- Sell — Sell when the 82-day EMA falls below the 281-day EMA