Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TOHO GAS Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of TOHO GAS Co., Ltd.. 0 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 -44.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -67.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.7%, MDD -44.0%, Sharpe 0.37, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 23.3%p (CAGR 5.7%, MDD -44.0%, exposure 65%).
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=94, slow=107 |
5.7% | -44.0% | 0.37 | 0.13 | 4.1x | 29 | 65% |
| SMA 크로스오버 fast=44, slow=250 |
5.2% | -49.5% | 0.36 | 0.11 | 3.7x | 26 | 62% |
| ROC 모멘텀 n=120, threshold=-0.09 |
4.2% | -59.5% | 0.30 | 0.07 | 2.9x | 151 | 79% |
| Donchian 채널 돌파 entryN=114, exitN=49 |
3.1% | -37.7% | 0.26 | 0.08 | 2.2x | 42 | 45% |
| ADX / DI 방향성 period=33, threshold=38 |
0.4% | -6.0% | 0.20 | 0.07 | 1.1x | 4 | 0% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=16, mult=3.7 |
0.8% | -37.0% | 0.13 | 0.02 | 1.2x | 62 | 27% |
| 볼린저 밴드 돌파 n=34, k=3.2 |
0.5% | -25.7% | 0.11 | 0.02 | 1.1x | 20 | 5% |
| Supertrend period=8, mult=4.6 |
-0.6% | -71.5% | 0.07 | -0.01 | 0.9x | 101 | 55% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.4% | -79.8% | -0.09 | -0.04 | 0.4x | 217 | 53% |
| MACD fast=18, slow=19, signal=17 |
-5.5% | -83.1% | -0.21 | -0.07 | 0.2x | 380 | 51% |
| Buy and hold | 6.3% | -67.2% | 0.36 | 0.09 | 4.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 94-day EMA crosses above the 107-day EMA
- Sell — Sell when the 94-day EMA falls below the 107-day EMA