Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toda Corporation backtest
10 trend-following strategies were compared on the full daily history of Toda Corporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 4.2%, drawdown -74.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.5%, MDD -63.1%, Sharpe 0.31, 52% 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=15, slow=128 |
4.5% | -63.1% | 0.31 | 0.07 | 3.1x | 59 | 52% |
| Donchian 채널 돌파 entryN=79, exitN=79 |
4.2% | -70.9% | 0.29 | 0.06 | 2.8x | 35 | 54% |
| SMA 크로스오버 fast=6, slow=218 |
3.8% | -67.0% | 0.28 | 0.06 | 2.6x | 65 | 52% |
| ROC 모멘텀 n=97, threshold=0.04 |
1.9% | -66.7% | 0.20 | 0.03 | 1.6x | 230 | 44% |
| ADX / DI 방향성 period=31, threshold=38 |
0.4% | -7.3% | 0.20 | 0.06 | 1.1x | 2 | 1% |
| Supertrend period=13, mult=5 |
1.0% | -70.0% | 0.16 | 0.01 | 1.3x | 85 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=16, mult=2.4 |
-0.7% | -63.2% | 0.05 | -0.01 | 0.8x | 120 | 35% |
| 볼린저 밴드 돌파 n=51, k=1.5 |
-2.5% | -74.6% | -0.04 | -0.03 | 0.5x | 144 | 36% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-7.0% | -94.5% | -0.21 | -0.07 | 0.2x | 428 | 51% |
| MACD fast=17, slow=38, signal=17 |
-7.5% | -91.4% | -0.22 | -0.08 | 0.1x | 324 | 51% |
| Buy and hold | 4.2% | -74.9% | 0.29 | 0.06 | 2.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 15-day EMA crosses above the 128-day EMA
- Sell — Sell when the 15-day EMA falls below the 128-day EMA