Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Teijin Limited backtest
10 trend-following strategies were compared on the full daily history of Teijin Limited. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -28.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.5%, drawdown -82.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.2%, MDD -63.8%, Sharpe 0.21, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 18.6%p (CAGR 0.0%, MDD -28.0%, exposure 4%).
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=53, slow=158 |
2.2% | -63.8% | 0.21 | 0.03 | 1.8x | 43 | 47% |
| Donchian 채널 돌파 entryN=80, exitN=31 |
1.5% | -45.2% | 0.18 | 0.03 | 1.5x | 61 | 35% |
| EMA 크로스오버 fast=35, slow=114 |
1.5% | -65.7% | 0.17 | 0.02 | 1.5x | 55 | 48% |
| ADX / DI 방향성 period=30, threshold=25 |
0.0% | -28.0% | 0.04 | 0.00 | 1.0x | 22 | 4% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=27, mult=3 |
-1.2% | -44.3% | -0.02 | -0.03 | 0.7x | 90 | 24% |
| ROC 모멘텀 n=121, threshold=-0.02 |
-3.9% | -82.8% | -0.08 | -0.05 | 0.3x | 271 | 54% |
| 볼린저 밴드 돌파 n=57, k=2 |
-3.0% | -68.1% | -0.12 | -0.04 | 0.4x | 103 | 29% |
| Supertrend period=29, mult=5 |
-5.7% | -85.5% | -0.18 | -0.07 | 0.2x | 107 | 52% |
| MACD fast=22, slow=57, signal=19 |
-6.0% | -88.5% | -0.18 | -0.07 | 0.2x | 263 | 52% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-6.7% | -90.1% | -0.21 | -0.07 | 0.2x | 443 | 50% |
| Buy and hold | -0.5% | -82.5% | 0.14 | -0.01 | 0.9x | 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 53-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 53-day average falls below the 158-day average