Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hokkaido Electric Power Company,Incorporated backtest
10 trend-following strategies were compared on the full daily history of Hokkaido Electric Power Company,Incorporated. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.4%, MDD -20.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.0%, drawdown -89.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.1%, MDD -22.9%, Sharpe 0.43, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 66.6%p (CAGR 2.4%, MDD -20.2%, exposure 1%).
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=26, threshold=0.18 |
4.1% | -22.9% | 0.43 | 0.18 | 2.8x | 70 | 4% |
| ADX / DI 방향성 period=19, threshold=46 |
2.4% | -20.2% | 0.39 | 0.12 | 1.9x | 8 | 1% |
| 볼린저 밴드 돌파 n=40, k=3.1 |
3.8% | -33.5% | 0.37 | 0.11 | 2.6x | 39 | 11% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=19, mult=3.5 |
3.2% | -52.9% | 0.30 | 0.06 | 2.2x | 60 | 13% |
| Donchian 채널 돌파 entryN=56, exitN=11 |
2.3% | -49.4% | 0.23 | 0.05 | 1.8x | 105 | 23% |
| SMA 크로스오버 fast=58, slow=84 |
1.6% | -67.4% | 0.18 | 0.02 | 1.5x | 89 | 51% |
| EMA 크로스오버 fast=31, slow=88 |
1.2% | -72.6% | 0.16 | 0.02 | 1.4x | 63 | 50% |
| Supertrend period=8, mult=3 |
-0.3% | -69.0% | 0.09 | -0.00 | 0.9x | 191 | 52% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-0.7% | -70.4% | 0.07 | -0.01 | 0.8x | 194 | 50% |
| MACD fast=19, slow=59, signal=15 |
-1.2% | -73.3% | 0.05 | -0.02 | 0.7x | 258 | 53% |
| Buy and hold | -1.0% | -89.5% | 0.12 | -0.01 | 0.8x | 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 26-day return is greater than 18%
- Sell — Sell when the 26-day return drops to 18% or below