Trend-Following Backtester · Guide · backtest 한국어
equity · JP
San-in Godo Bank Ltd. backtest
10 trend-following strategies were compared on the full daily history of San-in Godo Bank Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.5%, MDD -44.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.1%, drawdown -66.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -46.9%, Sharpe 0.50, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 7.5%, MDD -44.3%, exposure 54%).
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=50, slow=180 |
8.9% | -46.9% | 0.50 | 0.19 | 8.8x | 41 | 53% |
| EMA 크로스오버 fast=47, slow=219 |
7.5% | -44.3% | 0.45 | 0.17 | 6.4x | 25 | 54% |
| Donchian 채널 돌파 entryN=92, exitN=52 |
6.9% | -46.5% | 0.44 | 0.15 | 5.6x | 33 | 48% |
| ROC 모멘텀 n=216, threshold=-0.09 |
5.2% | -77.3% | 0.34 | 0.07 | 3.7x | 145 | 68% |
| ADX / DI 방향성 period=28, threshold=35 |
0.4% | -11.8% | 0.15 | 0.04 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=9, mult=4 |
0.4% | -41.5% | 0.10 | 0.01 | 1.1x | 53 | 19% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
0.4% | -36.3% | 0.09 | 0.01 | 1.1x | 34 | 13% |
| Supertrend period=5, mult=5 |
-1.1% | -72.6% | 0.05 | -0.02 | 0.8x | 93 | 53% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-6.0% | -91.8% | -0.17 | -0.06 | 0.2x | 209 | 55% |
| MACD fast=17, slow=56, signal=16 |
-7.7% | -91.5% | -0.27 | -0.08 | 0.1x | 342 | 53% |
| Buy and hold | 6.1% | -66.9% | 0.35 | 0.09 | 4.6x | 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 50-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 50-day average falls below the 180-day average