Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Taikisha Ltd. backtest
10 trend-following strategies were compared on the full daily history of Taikisha 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 10.1%, drawdown -56.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -68.7%, Sharpe 0.28, 61% 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=47, slow=204 |
4.0% | -68.7% | 0.28 | 0.06 | 2.7x | 39 | 61% |
| ROC 모멘텀 n=8, threshold=-0.07 |
1.5% | -78.7% | 0.20 | 0.02 | 1.5x | 287 | 93% |
| EMA 크로스오버 fast=59, slow=210 |
1.9% | -73.8% | 0.20 | 0.03 | 1.6x | 33 | 66% |
| Donchian 채널 돌파 entryN=56, exitN=50 |
1.1% | -64.0% | 0.16 | 0.02 | 1.3x | 63 | 54% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
0.5% | -26.9% | 0.11 | 0.02 | 1.2x | 22 | 5% |
| Supertrend period=11, mult=5 |
-1.2% | -68.8% | 0.07 | -0.02 | 0.7x | 94 | 59% |
| MACD fast=37, slow=52, signal=18 |
-2.1% | -81.2% | 0.02 | -0.03 | 0.6x | 228 | 53% |
| ADX / DI 방향성 period=37, threshold=19 |
-0.8% | -49.4% | -0.01 | -0.02 | 0.8x | 44 | 12% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=8, mult=3.8 |
-1.1% | -38.1% | -0.12 | -0.03 | 0.8x | 34 | 6% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-5.9% | -88.7% | -0.16 | -0.07 | 0.2x | 440 | 54% |
| Buy and hold | 10.1% | -56.3% | 0.46 | 0.18 | 11.8x | 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 47-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 47-day average falls below the 204-day average