Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Morinaga Milk Industry Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Morinaga Milk Industry Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.7%, MDD -43.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.1%, drawdown -58.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -43.4%, Sharpe 0.41, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 15.2%p (CAGR 6.7%, MDD -43.4%, exposure 61%).
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=52, slow=193 |
6.7% | -43.4% | 0.41 | 0.15 | 5.2x | 37 | 61% |
| EMA 크로스오버 fast=55, slow=171 |
5.8% | -37.1% | 0.37 | 0.16 | 4.2x | 35 | 61% |
| ROC 모멘텀 n=120, threshold=-0.12 |
6.2% | -70.0% | 0.37 | 0.09 | 4.7x | 123 | 84% |
| Donchian 채널 돌파 entryN=117, exitN=91 |
5.1% | -37.0% | 0.35 | 0.14 | 3.6x | 27 | 56% |
| Supertrend period=6, mult=2.8 |
2.4% | -64.1% | 0.22 | 0.04 | 1.8x | 199 | 54% |
| Parabolic SAR step=0.005, maxStep=0.34 |
1.0% | -51.1% | 0.15 | 0.02 | 1.3x | 210 | 52% |
| MACD fast=16, slow=46, signal=16 |
0.1% | -66.0% | 0.10 | 0.00 | 1.0x | 298 | 51% |
| 볼린저 밴드 돌파 n=36, k=3.3 |
0.3% | -28.9% | 0.07 | 0.01 | 1.1x | 36 | 9% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=23, mult=3.2 |
-0.7% | -49.9% | 0.03 | -0.01 | 0.8x | 94 | 26% |
| ADX / DI 방향성 period=27, threshold=37 |
-0.1% | -12.3% | -0.04 | -0.01 | 1.0x | 8 | 1% |
| Buy and hold | 8.1% | -58.6% | 0.42 | 0.14 | 7.3x | 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 52-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 52-day average falls below the 193-day average