Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sompo Holdings,Inc. backtest
10 trend-following strategies were compared on the full daily history of Sompo Holdings,Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.9%, MDD -30.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -52.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.9%, MDD -30.3%, Sharpe 0.62, 68% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 22.2%p (CAGR 12.9%, MDD -30.3%, exposure 68%).
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=37, slow=104 |
12.9% | -30.3% | 0.62 | 0.43 | 7.4x | 23 | 68% |
| SMA 크로스오버 fast=22, slow=176 |
12.7% | -35.1% | 0.61 | 0.36 | 7.1x | 21 | 67% |
| ROC 모멘텀 n=163, threshold=-0.04 |
10.2% | -44.5% | 0.52 | 0.23 | 5.0x | 79 | 71% |
| Donchian 채널 돌파 entryN=40, exitN=76 |
6.8% | -38.7% | 0.39 | 0.17 | 2.9x | 31 | 74% |
| 볼린저 밴드 돌파 n=15, k=3 |
1.3% | -10.4% | 0.34 | 0.12 | 1.2x | 6 | 2% |
| Supertrend period=25, mult=4.6 |
1.3% | -43.4% | 0.18 | 0.03 | 1.2x | 67 | 65% |
| ADX / DI 방향성 period=36, threshold=26 |
0.7% | -12.8% | 0.16 | 0.06 | 1.1x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=3.6 |
-0.8% | -43.5% | 0.02 | -0.02 | 0.9x | 52 | 26% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-2.0% | -56.8% | 0.01 | -0.03 | 0.7x | 270 | 54% |
| MACD fast=24, slow=27, signal=19 |
-4.0% | -65.0% | -0.10 | -0.06 | 0.5x | 198 | 51% |
| Buy and hold | 13.0% | -52.4% | 0.56 | 0.25 | 7.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 104-day EMA
- Sell — Sell when the 37-day EMA falls below the 104-day EMA