Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Petroleum Exploration Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Japan Petroleum Exploration Co., Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.6%, MDD -54.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.5%, drawdown -83.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -54.0%, Sharpe 0.30, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 30.0%p (CAGR 4.6%, MDD -54.0%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=44, slow=106 |
4.6% | -54.0% | 0.30 | 0.09 | 2.8x | 52 | 53% |
| Donchian 채널 돌파 entryN=79, exitN=73 |
3.9% | -68.7% | 0.28 | 0.06 | 2.4x | 36 | 49% |
| ROC 모멘텀 n=96, threshold=0 |
2.5% | -67.1% | 0.23 | 0.04 | 1.8x | 180 | 53% |
| 볼린저 밴드 돌파 n=16, k=2.8 |
1.9% | -26.6% | 0.22 | 0.07 | 1.5x | 54 | 8% |
| EMA 크로스오버 fast=35, slow=100 |
1.3% | -78.9% | 0.18 | 0.02 | 1.4x | 58 | 52% |
| ADX / DI 방향성 period=35, threshold=39 |
0.6% | -11.2% | 0.15 | 0.05 | 1.1x | 2 | 0% |
| MACD fast=15, slow=46, signal=20 |
-0.7% | -78.0% | 0.10 | -0.01 | 0.9x | 249 | 52% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=29, mult=1.8 |
-0.7% | -69.3% | 0.08 | -0.01 | 0.9x | 154 | 36% |
| Supertrend period=13, mult=2.5 |
-1.6% | -75.2% | 0.06 | -0.02 | 0.7x | 245 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.7% | -88.9% | 0.06 | -0.02 | 0.7x | 361 | 52% |
| Buy and hold | 3.5% | -83.9% | 0.28 | 0.04 | 2.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 44-day average price crosses above the 106-day average
- Sell — Sell (to cash) when the 44-day average falls below the 106-day average