Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sankyu Inc. backtest
10 trend-following strategies were compared on the full daily history of Sankyu Inc.. 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 12.6%, drawdown -74.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -67.0%, Sharpe 0.53, 57% 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=17, slow=74 |
10.6% | -67.0% | 0.53 | 0.16 | 13.3x | 95 | 57% |
| EMA 크로스오버 fast=33, slow=49 |
10.0% | -65.7% | 0.51 | 0.15 | 11.5x | 87 | 59% |
| ROC 모멘텀 n=63, threshold=-0.07 |
8.6% | -68.5% | 0.44 | 0.13 | 8.3x | 237 | 76% |
| Donchian 채널 돌파 entryN=18, exitN=63 |
7.9% | -69.2% | 0.40 | 0.11 | 7.0x | 75 | 81% |
| ADX / DI 방향성 period=36, threshold=12 |
6.5% | -59.6% | 0.40 | 0.11 | 5.0x | 164 | 42% |
| Supertrend period=27, mult=5 |
6.4% | -70.3% | 0.37 | 0.09 | 4.9x | 83 | 57% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
5.3% | -53.0% | 0.35 | 0.10 | 3.8x | 111 | 41% |
| Parabolic SAR step=0.005, maxStep=0.38 |
4.0% | -73.8% | 0.28 | 0.05 | 2.7x | 203 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=12, mult=2.9 |
2.8% | -55.4% | 0.24 | 0.05 | 2.0x | 101 | 33% |
| MACD fast=15, slow=48, signal=18 |
1.2% | -79.7% | 0.17 | 0.01 | 1.4x | 313 | 53% |
| Buy and hold | 12.6% | -74.7% | 0.51 | 0.17 | 20.7x | 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 17-day average price crosses above the 74-day average
- Sell — Sell (to cash) when the 17-day average falls below the 74-day average