Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Meiji Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Meiji Holdings Co., Ltd.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -85.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.9%, MDD -68.0%, Sharpe 0.35, 51% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.5%, MDD -87.5%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=44, slow=266 |
4.9% | -68.0% | 0.35 | 0.07 | 3.6x | 35 | 51% |
| SMA 크로스오버 fast=19, slow=287 |
4.6% | -66.2% | 0.34 | 0.07 | 3.3x | 53 | 51% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
5.5% | -87.5% | 0.31 | 0.06 | 4.2x | 7 | 100% |
| ADX / DI 방향성 period=48, threshold=30 |
1.1% | -15.0% | 0.30 | 0.07 | 1.3x | 2 | 1% |
| Donchian 채널 돌파 entryN=110, exitN=9 |
1.9% | -46.7% | 0.24 | 0.04 | 1.6x | 81 | 16% |
| Supertrend period=18, mult=3.7 |
2.4% | -53.6% | 0.22 | 0.04 | 1.9x | 133 | 47% |
| Parabolic SAR step=0.01, maxStep=0.02 |
2.1% | -64.4% | 0.20 | 0.03 | 1.7x | 149 | 53% |
| 볼린저 밴드 돌파 n=24, k=2.8 |
1.1% | -42.9% | 0.15 | 0.02 | 1.3x | 68 | 11% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=28, mult=1.9 |
0.9% | -60.3% | 0.13 | 0.01 | 1.3x | 161 | 33% |
| MACD fast=17, slow=38, signal=24 |
-0.2% | -59.8% | 0.08 | -0.00 | 1.0x | 281 | 51% |
| Buy and hold | 6.7% | -85.3% | 0.34 | 0.08 | 5.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 44-day EMA crosses above the 266-day EMA
- Sell — Sell when the 44-day EMA falls below the 266-day EMA