Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Seven & I Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Seven & I Holdings Co., Ltd.. 0 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
0 of 10 beat buy and hold (CAGR 4.1%, drawdown -66.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.9%, MDD -66.2%, Sharpe 0.27, 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=1, threshold=-0.11 |
3.9% | -66.2% | 0.27 | 0.06 | 2.7x | 5 | 100% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
2.3% | -22.5% | 0.23 | 0.10 | 1.8x | 18 | 6% |
| Donchian 채널 돌파 entryN=96, exitN=74 |
2.6% | -49.7% | 0.22 | 0.05 | 2.0x | 38 | 47% |
| ADX / DI 방향성 period=23, threshold=42 |
0.8% | -14.7% | 0.22 | 0.05 | 1.2x | 4 | 2% |
| SMA 크로스오버 fast=22, slow=219 |
1.6% | -53.2% | 0.18 | 0.03 | 1.5x | 53 | 54% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=11, mult=3.8 |
0.6% | -46.1% | 0.10 | 0.01 | 1.2x | 62 | 16% |
| EMA 크로스오버 fast=17, slow=191 |
0.1% | -56.5% | 0.10 | 0.00 | 1.0x | 75 | 53% |
| Supertrend period=9, mult=4.4 |
-0.3% | -61.4% | 0.09 | -0.00 | 0.9x | 111 | 49% |
| MACD fast=19, slow=47, signal=18 |
-2.4% | -75.5% | -0.02 | -0.03 | 0.5x | 285 | 52% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-5.8% | -84.1% | -0.17 | -0.07 | 0.2x | 615 | 52% |
| Buy and hold | 4.1% | -66.0% | 0.28 | 0.06 | 2.9x | 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 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below