Trend-Following Backtester · Guide · backtest 한국어
equity · JP
RAKUS Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of RAKUS Co., Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 27.7%, MDD -39.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 26.1%, drawdown -73.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.7%, MDD -49.8%, Sharpe 0.89, 65% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 32.0%, MDD -49.9%, exposure 79%.
Return/drawdown alternative: Supertrend — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 27.7%, MDD -39.5%, exposure 58%).
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=40, slow=87 |
30.7% | -49.8% | 0.89 | 0.62 | 17.3x | 29 | 65% |
| Donchian 채널 돌파 entryN=23, exitN=69 |
32.0% | -49.9% | 0.88 | 0.64 | 19.2x | 21 | 79% |
| 볼린저 밴드 돌파 n=36, k=1.1 |
24.2% | -32.3% | 0.85 | 0.75 | 10.0x | 81 | 46% |
| Supertrend period=14, mult=4.1 |
27.7% | -39.5% | 0.85 | 0.70 | 13.5x | 41 | 58% |
| ROC 모멘텀 n=57, threshold=-0.02 |
26.2% | -62.7% | 0.80 | 0.42 | 11.9x | 99 | 66% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=14, mult=1.1 |
20.6% | -31.6% | 0.76 | 0.65 | 7.4x | 101 | 46% |
| EMA 크로스오버 fast=41, slow=192 |
22.7% | -67.2% | 0.73 | 0.34 | 8.8x | 15 | 67% |
| MACD fast=20, slow=59, signal=7 |
17.6% | -66.9% | 0.65 | 0.26 | 5.6x | 139 | 48% |
| ADX / DI 방향성 period=10, threshold=19 |
14.1% | -49.1% | 0.58 | 0.29 | 4.1x | 225 | 44% |
| Parabolic SAR step=0.015, maxStep=0.12 |
11.9% | -70.9% | 0.49 | 0.17 | 3.3x | 169 | 53% |
| Buy and hold | 26.1% | -73.1% | 0.71 | 0.36 | 11.8x | 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 40-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 40-day average falls below the 87-day average