Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sanki Engineering Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sanki Engineering Co., Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -69.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.5%, MDD -69.5%, Sharpe 0.47, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
10.5% | -69.5% | 0.47 | 0.15 | 12.8x | 3 | 100% |
| Donchian 채널 돌파 entryN=44, exitN=105 |
6.1% | -60.0% | 0.36 | 0.10 | 4.6x | 37 | 73% |
| EMA 크로스오버 fast=39, slow=210 |
5.7% | -69.7% | 0.36 | 0.08 | 4.2x | 37 | 60% |
| SMA 크로스오버 fast=29, slow=195 |
4.2% | -70.8% | 0.29 | 0.06 | 2.9x | 51 | 58% |
| Supertrend period=10, mult=3.7 |
3.2% | -49.6% | 0.25 | 0.06 | 2.2x | 140 | 58% |
| ADX / DI 방향성 period=14, threshold=29 |
2.1% | -24.3% | 0.23 | 0.09 | 1.7x | 112 | 14% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=13, mult=3 |
2.2% | -48.6% | 0.21 | 0.04 | 1.7x | 88 | 34% |
| Parabolic SAR step=0.005, maxStep=0.38 |
2.1% | -56.0% | 0.20 | 0.04 | 1.7x | 210 | 55% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
1.2% | -49.9% | 0.16 | 0.02 | 1.3x | 122 | 38% |
| MACD fast=6, slow=54, signal=17 |
-0.8% | -68.8% | 0.07 | -0.01 | 0.8x | 442 | 51% |
| Buy and hold | 10.8% | -69.5% | 0.48 | 0.16 | 13.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -12%
- Sell — Sell when the 1-day return drops to -12% or below