Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Koei Tecmo Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Koei Tecmo Holdings Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.2%, MDD -45.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.1%, drawdown -73.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -45.3%, Sharpe 0.54, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 11.2%, MDD -45.3%, exposure 59%).
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=212 |
11.2% | -45.3% | 0.54 | 0.25 | 15.0x | 24 | 59% |
| EMA 크로스오버 fast=36, slow=181 |
5.8% | -60.3% | 0.35 | 0.10 | 4.2x | 40 | 58% |
| Donchian 채널 돌파 entryN=70, exitN=77 |
5.4% | -55.8% | 0.34 | 0.10 | 3.8x | 36 | 60% |
| ADX / DI 방향성 period=38, threshold=17 |
2.2% | -35.6% | 0.22 | 0.06 | 1.8x | 74 | 19% |
| ROC 모멘텀 n=146, threshold=0.07 |
2.4% | -63.8% | 0.22 | 0.04 | 1.8x | 216 | 44% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
1.5% | -39.5% | 0.18 | 0.04 | 1.5x | 34 | 14% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=28, mult=3 |
0.0% | -66.9% | 0.09 | 0.00 | 1.0x | 88 | 28% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-0.8% | -71.1% | 0.09 | -0.01 | 0.8x | 509 | 52% |
| Supertrend period=24, mult=1.8 |
-1.7% | -74.0% | 0.06 | -0.02 | 0.6x | 383 | 52% |
| MACD fast=10, slow=25, signal=8 |
-6.7% | -86.0% | -0.17 | -0.08 | 0.2x | 559 | 50% |
| Buy and hold | 8.1% | -73.0% | 0.40 | 0.11 | 7.4x | 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 212-day average
- Sell — Sell (to cash) when the 52-day average falls below the 212-day average