Trend-Following Backtester · Guide · backtest 한국어
equity · JP
MISUMI Group Inc. backtest
10 trend-following strategies were compared on the full daily history of MISUMI Group Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -67.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.9%, MDD -57.6%, Sharpe 0.32, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=49, slow=286 |
4.9% | -57.6% | 0.32 | 0.08 | 3.4x | 25 | 56% |
| SMA 크로스오버 fast=16, slow=207 |
4.0% | -63.3% | 0.29 | 0.06 | 2.8x | 53 | 58% |
| Donchian 채널 돌파 entryN=32, exitN=88 |
3.7% | -73.5% | 0.27 | 0.05 | 2.5x | 51 | 74% |
| ADX / DI 방향성 period=48, threshold=24 |
0.8% | -14.5% | 0.22 | 0.06 | 1.2x | 4 | 2% |
| 볼린저 밴드 돌파 n=59, k=1.2 |
2.3% | -51.2% | 0.21 | 0.04 | 1.8x | 138 | 44% |
| MACD fast=28, slow=71, signal=31 |
1.6% | -58.4% | 0.19 | 0.03 | 1.5x | 166 | 53% |
| Supertrend period=8, mult=4.2 |
1.1% | -68.8% | 0.17 | 0.02 | 1.3x | 118 | 56% |
| ROC 모멘텀 n=73, threshold=-0.04 |
-0.3% | -70.5% | 0.12 | -0.00 | 0.9x | 271 | 65% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=23, mult=3.8 |
-0.5% | -53.6% | 0.05 | -0.01 | 0.9x | 68 | 29% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.8% | -82.8% | 0.01 | -0.03 | 0.5x | 212 | 55% |
| Buy and hold | 6.7% | -67.8% | 0.36 | 0.10 | 5.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 286-day EMA
- Sell — Sell when the 49-day EMA falls below the 286-day EMA