Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Suruga Bank Ltd. backtest
10 trend-following strategies were compared on the full daily history of Suruga Bank Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.2%, MDD -41.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.1%, drawdown -89.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -60.3%, Sharpe 0.57, 55% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 29.3%p (CAGR 5.2%, MDD -41.3%, exposure 18%).
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=40, slow=217 |
11.3% | -60.3% | 0.57 | 0.19 | 15.6x | 29 | 55% |
| EMA 크로스오버 fast=45, slow=205 |
9.8% | -64.7% | 0.51 | 0.15 | 11.0x | 29 | 54% |
| ROC 모멘텀 n=171, threshold=0.07 |
8.9% | -58.5% | 0.50 | 0.15 | 9.0x | 163 | 45% |
| Donchian 채널 돌파 entryN=104, exitN=75 |
9.0% | -68.2% | 0.49 | 0.13 | 9.2x | 27 | 53% |
| ADX / DI 방향성 period=66, threshold=15 |
5.2% | -41.3% | 0.41 | 0.13 | 3.7x | 33 | 18% |
| Supertrend period=27, mult=3.4 |
3.3% | -81.5% | 0.26 | 0.04 | 2.3x | 153 | 54% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
2.3% | -61.5% | 0.22 | 0.04 | 1.8x | 109 | 38% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=27, mult=2.8 |
2.2% | -68.8% | 0.21 | 0.03 | 1.8x | 85 | 35% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-6.4% | -91.3% | -0.13 | -0.07 | 0.2x | 547 | 52% |
| MACD fast=19, slow=33, signal=17 |
-8.4% | -94.7% | -0.21 | -0.09 | 0.1x | 321 | 52% |
| Buy and hold | 4.1% | -89.6% | 0.30 | 0.05 | 2.8x | 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 40-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 40-day average falls below the 217-day average