Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Ajinomoto Co., Inc. backtest
10 trend-following strategies were compared on the full daily history of Ajinomoto Co., Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.4%, MDD -47.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -61.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.4%, MDD -47.7%, Sharpe 0.49, 57% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.4%, MDD -61.5%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 13.9%p (CAGR 8.4%, MDD -47.7%, exposure 57%).
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=102, slow=337 |
8.4% | -47.7% | 0.49 | 0.18 | 8.4x | 17 | 57% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.14 |
8.4% | -61.5% | 0.44 | 0.14 | 8.6x | 3 | 100% |
| SMA 크로스오버 fast=31, slow=213 |
2.9% | -52.2% | 0.25 | 0.06 | 2.2x | 53 | 57% |
| Donchian 채널 돌파 entryN=139, exitN=29 |
1.5% | -47.6% | 0.18 | 0.03 | 1.5x | 50 | 30% |
| ADX / DI 방향성 period=39, threshold=19 |
1.2% | -30.0% | 0.17 | 0.04 | 1.4x | 33 | 13% |
| 볼린저 밴드 돌파 n=47, k=2.6 |
0.8% | -44.3% | 0.13 | 0.02 | 1.2x | 74 | 24% |
| Supertrend period=23, mult=3.8 |
-0.2% | -63.5% | 0.08 | -0.00 | 0.9x | 138 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=3.5 |
-0.2% | -60.2% | 0.05 | -0.00 | 0.9x | 82 | 27% |
| MACD fast=19, slow=31, signal=19 |
-3.0% | -77.3% | -0.07 | -0.04 | 0.4x | 312 | 51% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-3.2% | -84.7% | -0.07 | -0.04 | 0.4x | 344 | 53% |
| Buy and hold | 8.5% | -61.5% | 0.44 | 0.14 | 8.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 102-day EMA crosses above the 337-day EMA
- Sell — Sell when the 102-day EMA falls below the 337-day EMA