Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TOKYO GAS Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of TOKYO GAS Co., Ltd.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.7%, MDD -40.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.5%, drawdown -55.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.7%, MDD -40.7%, Sharpe 0.40, 59% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.6%, MDD -55.1%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 14.3%p (CAGR 5.7%, MDD -40.7%, exposure 59%).
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=58, slow=186 |
5.7% | -40.7% | 0.40 | 0.14 | 4.4x | 28 | 59% |
| 볼린저 밴드 돌파 n=29, k=3.1 |
2.9% | -23.3% | 0.38 | 0.12 | 2.1x | 34 | 9% |
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.13 |
6.6% | -55.1% | 0.38 | 0.12 | 5.5x | 3 | 100% |
| SMA 크로스오버 fast=55, slow=118 |
5.1% | -43.3% | 0.36 | 0.12 | 3.7x | 54 | 57% |
| Donchian 채널 돌파 entryN=98, exitN=69 |
2.1% | -57.5% | 0.21 | 0.04 | 1.7x | 42 | 53% |
| ADX / DI 방향성 period=30, threshold=34 |
0.5% | -19.0% | 0.15 | 0.03 | 1.1x | 6 | 2% |
| Supertrend period=27, mult=4.6 |
0.7% | -53.8% | 0.13 | 0.01 | 1.2x | 94 | 54% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=18, mult=3.5 |
0.3% | -9.5% | 0.12 | 0.03 | 1.1x | 4 | 0% |
| MACD fast=24, slow=97, signal=24 |
-3.6% | -75.1% | -0.13 | -0.05 | 0.4x | 205 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-5.0% | -88.9% | -0.20 | -0.06 | 0.3x | 235 | 53% |
| Buy and hold | 6.5% | -55.1% | 0.38 | 0.12 | 5.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 186-day EMA
- Sell — Sell when the 58-day EMA falls below the 186-day EMA