Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yamazaki Baking Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yamazaki Baking Co., Ltd.. 1 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
1 of 10 beat buy and hold (CAGR 5.8%, drawdown -52.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.1%, MDD -52.7%, Sharpe 0.35, 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=3, threshold=-0.11 |
6.1% | -52.7% | 0.35 | 0.12 | 4.5x | 27 | 100% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=17, mult=4 |
2.2% | -23.2% | 0.29 | 0.09 | 1.7x | 38 | 10% |
| ADX / DI 방향성 period=38, threshold=25 |
1.8% | -23.4% | 0.28 | 0.08 | 1.6x | 10 | 4% |
| SMA 크로스오버 fast=56, slow=138 |
1.3% | -57.4% | 0.17 | 0.02 | 1.4x | 56 | 52% |
| Supertrend period=14, mult=5 |
0.6% | -53.5% | 0.14 | 0.01 | 1.2x | 89 | 51% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
0.5% | -19.9% | 0.11 | 0.03 | 1.1x | 20 | 6% |
| EMA 크로스오버 fast=35, slow=99 |
-0.4% | -78.4% | 0.09 | -0.01 | 0.9x | 71 | 51% |
| Donchian 채널 돌파 entryN=18, exitN=48 |
-1.1% | -69.7% | 0.08 | -0.02 | 0.8x | 105 | 70% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-4.1% | -75.3% | -0.09 | -0.05 | 0.3x | 209 | 51% |
| MACD fast=21, slow=31, signal=24 |
-5.9% | -81.3% | -0.19 | -0.07 | 0.2x | 273 | 52% |
| Buy and hold | 5.8% | -52.6% | 0.34 | 0.11 | 4.2x | 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 3-day return is greater than -11%
- Sell — Sell when the 3-day return drops to -11% or below