Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SoftBank Corp. backtest
10 trend-following strategies were compared on the full daily history of SoftBank Corp.. 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 7.5%, drawdown -24.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -18.8%, Sharpe 0.54, 59% 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=72, slow=138 |
5.6% | -18.8% | 0.54 | 0.30 | 1.5x | 13 | 59% |
| Donchian 채널 돌파 entryN=8, exitN=98 |
3.1% | -25.2% | 0.28 | 0.12 | 1.3x | 17 | 93% |
| ROC 모멘텀 n=6, threshold=0.11 |
0.1% | -0.5% | 0.22 | 0.23 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=30, slow=216 |
0.5% | -22.9% | 0.10 | 0.02 | 1.0x | 17 | 67% |
| ADX / DI 방향성 period=29, threshold=33 |
0.2% | -6.1% | 0.08 | 0.03 | 1.0x | 2 | 4% |
| Supertrend period=10, mult=3.8 |
-0.7% | -20.6% | 0.00 | -0.03 | 1.0x | 39 | 50% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
-0.1% | -4.4% | -0.06 | -0.02 | 1.0x | 2 | 1% |
| MACD fast=23, slow=39, signal=16 |
-2.7% | -32.4% | -0.17 | -0.08 | 0.8x | 77 | 50% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=22, mult=3.5 |
-2.0% | -21.2% | -0.27 | -0.10 | 0.9x | 23 | 20% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.3% | -38.4% | -0.29 | -0.11 | 0.7x | 123 | 56% |
| Buy and hold | 7.5% | -24.2% | 0.52 | 0.31 | 1.7x | 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 72-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 72-day average falls below the 138-day average