Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yamaguchi Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Yamaguchi Financial Group, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.4%, MDD -54.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.0%, drawdown -75.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.4%, MDD -54.2%, Sharpe 0.40, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 6.4%, MDD -54.2%, exposure 56%).
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=49, slow=276 |
6.4% | -54.2% | 0.40 | 0.12 | 4.9x | 19 | 56% |
| 볼린저 밴드 돌파 n=18, k=3.4 |
1.4% | -10.4% | 0.36 | 0.14 | 1.4x | 10 | 2% |
| SMA 크로스오버 fast=56, slow=192 |
3.7% | -72.0% | 0.28 | 0.05 | 2.5x | 43 | 54% |
| ADX / DI 방향성 period=25, threshold=34 |
1.1% | -14.9% | 0.26 | 0.08 | 1.3x | 10 | 2% |
| ROC 모멘텀 n=174, threshold=0 |
3.2% | -60.1% | 0.26 | 0.05 | 2.2x | 213 | 56% |
| Donchian 채널 돌파 entryN=15, exitN=46 |
3.2% | -59.3% | 0.25 | 0.05 | 2.2x | 97 | 74% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=26, mult=4 |
0.5% | -10.5% | 0.19 | 0.05 | 1.1x | 6 | 1% |
| Supertrend period=20, mult=4 |
-0.8% | -73.0% | 0.08 | -0.01 | 0.8x | 129 | 57% |
| MACD fast=14, slow=28, signal=12 |
-7.4% | -90.0% | -0.27 | -0.08 | 0.1x | 430 | 51% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-7.4% | -89.2% | -0.28 | -0.08 | 0.1x | 606 | 52% |
| Buy and hold | 6.0% | -75.3% | 0.35 | 0.08 | 4.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 276-day EMA
- Sell — Sell when the 49-day EMA falls below the 276-day EMA