Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokyo Electric Power Company Holdings, Incorporated backtest
10 trend-following strategies were compared on the full daily history of Tokyo Electric Power Company Holdings, Incorporated. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.1%, MDD -41.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.4%, drawdown -97.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.6%, MDD -58.6%, Sharpe 0.37, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 4.1%, MDD -41.7%, exposure 3%).
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=14, slow=80 |
6.6% | -58.6% | 0.37 | 0.11 | 5.5x | 96 | 46% |
| SMA 크로스오버 fast=40, slow=142 |
6.1% | -59.9% | 0.35 | 0.10 | 4.8x | 46 | 47% |
| ROC 모멘텀 n=98, threshold=0.14 |
5.8% | -47.7% | 0.35 | 0.12 | 4.5x | 142 | 21% |
| Donchian 채널 돌파 entryN=109, exitN=35 |
5.6% | -52.3% | 0.34 | 0.11 | 4.3x | 44 | 29% |
| ADX / DI 방향성 period=41, threshold=32 |
4.1% | -41.7% | 0.34 | 0.10 | 2.9x | 10 | 3% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=3.1 |
4.0% | -60.7% | 0.30 | 0.07 | 2.8x | 74 | 9% |
| 볼린저 밴드 돌파 n=11, k=2.7 |
3.3% | -42.8% | 0.27 | 0.08 | 2.4x | 68 | 5% |
| Supertrend period=26, mult=4.7 |
2.8% | -64.6% | 0.24 | 0.04 | 2.1x | 98 | 46% |
| Parabolic SAR step=0.01, maxStep=0.22 |
0.4% | -68.6% | 0.15 | 0.01 | 1.1x | 309 | 47% |
| MACD fast=17, slow=31, signal=6 |
-1.8% | -91.5% | 0.09 | -0.02 | 0.6x | 487 | 50% |
| Buy and hold | -6.4% | -97.3% | 0.06 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 14-day EMA crosses above the 80-day EMA
- Sell — Sell when the 14-day EMA falls below the 80-day EMA