Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Haseko Corporation backtest
10 trend-following strategies were compared on the full daily history of Haseko Corporation. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.4%, MDD -42.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.9%, drawdown -93.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -54.8%, Sharpe 0.62, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.4%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 9.4%, MDD -42.0%, exposure 14%).
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=18, slow=31 |
16.3% | -54.8% | 0.62 | 0.30 | 47.5x | 215 | 52% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=2 |
12.9% | -58.1% | 0.57 | 0.22 | 22.3x | 112 | 37% |
| Parabolic SAR step=0.005, maxStep=0.38 |
13.6% | -74.2% | 0.55 | 0.18 | 25.9x | 185 | 51% |
| Donchian 채널 돌파 entryN=89, exitN=49 |
11.9% | -53.3% | 0.54 | 0.22 | 17.9x | 42 | 40% |
| ADX / DI 방향성 period=11, threshold=33 |
9.9% | -56.5% | 0.51 | 0.17 | 11.1x | 158 | 19% |
| 볼린저 밴드 돌파 n=40, k=3.1 |
9.4% | -42.0% | 0.50 | 0.22 | 9.9x | 36 | 14% |
| Supertrend period=19, mult=3.6 |
11.6% | -70.7% | 0.50 | 0.16 | 16.7x | 129 | 49% |
| EMA 크로스오버 fast=21, slow=134 |
10.6% | -54.2% | 0.48 | 0.20 | 13.1x | 64 | 53% |
| ROC 모멘텀 n=62, threshold=0.13 |
7.1% | -55.5% | 0.38 | 0.13 | 5.8x | 226 | 28% |
| MACD fast=17, slow=53, signal=17 |
7.4% | -84.0% | 0.38 | 0.09 | 6.2x | 269 | 51% |
| Buy and hold | 5.9% | -93.7% | 0.36 | 0.06 | 4.3x | 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 18-day average price crosses above the 31-day average
- Sell — Sell (to cash) when the 18-day average falls below the 31-day average