Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Odakyu Electric Railway Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Odakyu Electric Railway Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.0%, drawdown -61.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.5%, MDD -50.4%, Sharpe 0.12, 58% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=38, slow=226 |
0.5% | -50.4% | 0.12 | 0.01 | 1.2x | 43 | 58% |
| EMA 크로스오버 fast=85, slow=116 |
0.3% | -57.2% | 0.11 | 0.01 | 1.1x | 43 | 60% |
| Supertrend period=27, mult=4.4 |
0.3% | -44.8% | 0.10 | 0.01 | 1.1x | 109 | 51% |
| 볼린저 밴드 돌파 n=38, k=2.4 |
0.4% | -30.9% | 0.09 | 0.01 | 1.1x | 89 | 22% |
| ROC 모멘텀 n=11, threshold=0.13 |
0.2% | -10.0% | 0.08 | 0.02 | 1.1x | 36 | 1% |
| Donchian 채널 돌파 entryN=6, exitN=61 |
-1.0% | -67.7% | 0.06 | -0.01 | 0.8x | 121 | 87% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=17, mult=3.8 |
0.2% | -30.7% | 0.06 | 0.00 | 1.0x | 40 | 8% |
| ADX / DI 방향성 period=33, threshold=26 |
-0.6% | -20.2% | -0.11 | -0.03 | 0.9x | 14 | 3% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.4% | -72.4% | -0.13 | -0.05 | 0.4x | 223 | 52% |
| MACD fast=18, slow=29, signal=16 |
-7.1% | -88.7% | -0.37 | -0.08 | 0.1x | 375 | 52% |
| Buy and hold | 4.0% | -61.7% | 0.29 | 0.07 | 2.9x | 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 38-day average price crosses above the 226-day average
- Sell — Sell (to cash) when the 38-day average falls below the 226-day average