Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daito Trust Construction Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Daito Trust Construction Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -65.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -43.0%, Sharpe 0.34, 60% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=62, slow=146 |
5.0% | -43.0% | 0.34 | 0.12 | 3.5x | 44 | 60% |
| EMA 크로스오버 fast=47, slow=218 |
4.4% | -54.6% | 0.31 | 0.08 | 3.0x | 30 | 65% |
| Donchian 채널 돌파 entryN=81, exitN=75 |
3.4% | -61.5% | 0.26 | 0.06 | 2.3x | 34 | 58% |
| ROC 모멘텀 n=187, threshold=-0.06 |
3.4% | -68.6% | 0.26 | 0.05 | 2.4x | 219 | 76% |
| Supertrend period=9, mult=4.9 |
0.5% | -49.9% | 0.14 | 0.01 | 1.1x | 89 | 55% |
| 볼린저 밴드 돌파 n=21, k=3.3 |
0.6% | -17.8% | 0.11 | 0.03 | 1.2x | 28 | 5% |
| MACD fast=30, slow=37, signal=38 |
-1.2% | -61.4% | 0.05 | -0.02 | 0.7x | 201 | 51% |
| ADX / DI 방향성 period=23, threshold=26 |
-0.8% | -39.4% | -0.07 | -0.02 | 0.8x | 34 | 6% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=8, mult=4 |
-0.4% | -12.0% | -0.13 | -0.03 | 0.9x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.9% | -85.0% | -0.16 | -0.07 | 0.2x | 215 | 53% |
| Buy and hold | 8.6% | -65.7% | 0.42 | 0.13 | 8.2x | 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 62-day average price crosses above the 146-day average
- Sell — Sell (to cash) when the 62-day average falls below the 146-day average