Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Ezaki Glico Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ezaki Glico 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 5.2%, drawdown -52.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -49.8%, Sharpe 0.33, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=431 |
4.5% | -49.8% | 0.33 | 0.09 | 3.1x | 21 | 52% |
| EMA 크로스오버 fast=46, slow=203 |
1.0% | -68.4% | 0.15 | 0.01 | 1.3x | 42 | 55% |
| ADX / DI 방향성 period=23, threshold=31 |
0.8% | -20.0% | 0.14 | 0.04 | 1.2x | 18 | 4% |
| Donchian 채널 돌파 entryN=11, exitN=56 |
-0.5% | -73.2% | 0.09 | -0.01 | 0.9x | 103 | 82% |
| ROC 모멘텀 n=119, threshold=0.12 |
-0.0% | -50.2% | 0.07 | -0.00 | 1.0x | 156 | 19% |
| Supertrend period=25, mult=3.4 |
-1.7% | -75.3% | -0.00 | -0.02 | 0.6x | 166 | 53% |
| 볼린저 밴드 돌파 n=22, k=3.2 |
-0.5% | -28.6% | -0.05 | -0.02 | 0.9x | 24 | 4% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-3.7% | -72.0% | -0.11 | -0.05 | 0.4x | 507 | 51% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=24, mult=3.5 |
-2.0% | -52.3% | -0.12 | -0.04 | 0.6x | 72 | 16% |
| MACD fast=16, slow=22, signal=13 |
-3.9% | -75.2% | -0.14 | -0.05 | 0.4x | 381 | 50% |
| Buy and hold | 5.2% | -52.6% | 0.33 | 0.10 | 3.6x | 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 55-day average price crosses above the 431-day average
- Sell — Sell (to cash) when the 55-day average falls below the 431-day average