Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SENKO Group Holdings Co.Ltd. backtest
10 trend-following strategies were compared on the full daily history of SENKO Group Holdings Co.Ltd.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.0%, drawdown -52.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.0%, MDD -52.2%, Sharpe 0.48, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
10.0% | -52.2% | 0.48 | 0.19 | 11.6x | 3 | 100% |
| SMA 크로스오버 fast=31, slow=95 |
5.4% | -48.4% | 0.36 | 0.11 | 3.9x | 77 | 56% |
| Donchian 채널 돌파 entryN=46, exitN=41 |
5.1% | -39.1% | 0.35 | 0.13 | 3.6x | 65 | 55% |
| ADX / DI 방향성 period=21, threshold=30 |
1.9% | -17.6% | 0.30 | 0.11 | 1.6x | 26 | 6% |
| EMA 크로스오버 fast=46, slow=48 |
3.2% | -65.2% | 0.26 | 0.05 | 2.2x | 83 | 58% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=19, mult=3.4 |
1.3% | -22.2% | 0.20 | 0.06 | 1.4x | 42 | 9% |
| Supertrend period=8, mult=4.1 |
1.9% | -52.6% | 0.19 | 0.04 | 1.6x | 117 | 58% |
| 볼린저 밴드 돌파 n=11, k=3 |
0.2% | -8.2% | 0.13 | 0.02 | 1.1x | 4 | 1% |
| MACD fast=20, slow=44, signal=24 |
-1.3% | -65.1% | 0.02 | -0.02 | 0.7x | 238 | 52% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-1.9% | -61.3% | -0.00 | -0.03 | 0.6x | 217 | 54% |
| Buy and hold | 10.0% | -52.7% | 0.48 | 0.19 | 11.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -12%
- Sell — Sell when the 1-day return drops to -12% or below