Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Chugoku Electric Power Co., Inc. backtest
10 trend-following strategies were compared on the full daily history of Chugoku Electric Power Co., Inc.. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -3.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR -2.1%, drawdown -78.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.2%, MDD -21.3%, Sharpe 0.18, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 57.5%p (CAGR -0.0%, MDD -3.6%, exposure 0%).
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 n=141, threshold=0.27 |
1.2% | -21.3% | 0.18 | 0.05 | 1.3x | 36 | 5% |
| SMA 크로스오버 fast=62, slow=146 |
-0.0% | -51.4% | 0.08 | -0.00 | 1.0x | 46 | 46% |
| 볼린저 밴드 돌파 n=33, k=3 |
0.1% | -20.2% | 0.05 | 0.01 | 1.0x | 41 | 9% |
| ADX / DI 방향성 period=37, threshold=36 |
-0.0% | -3.6% | -0.04 | -0.01 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=37, slow=77 |
-2.0% | -69.4% | -0.04 | -0.03 | 0.6x | 70 | 46% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=22, mult=3.1 |
-1.1% | -40.8% | -0.07 | -0.03 | 0.8x | 66 | 13% |
| Donchian 채널 돌파 entryN=101, exitN=73 |
-2.9% | -62.1% | -0.13 | -0.05 | 0.5x | 40 | 38% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-5.6% | -81.8% | -0.25 | -0.07 | 0.2x | 337 | 50% |
| Supertrend period=16, mult=2.3 |
-6.5% | -87.1% | -0.33 | -0.07 | 0.2x | 281 | 49% |
| MACD fast=15, slow=47, signal=9 |
-6.8% | -88.2% | -0.33 | -0.08 | 0.2x | 403 | 51% |
| Buy and hold | -2.1% | -78.8% | 0.04 | -0.03 | 0.6x | 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 141-day return is greater than 27%
- Sell — Sell when the 141-day return drops to 27% or below