Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Rengo Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Rengo Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -67.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.4%, MDD -64.1%, Sharpe 0.26, 56% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=23, slow=78 |
3.4% | -64.1% | 0.26 | 0.05 | 2.3x | 89 | 56% |
| ADX / DI 방향성 period=39, threshold=12 |
2.7% | -53.9% | 0.25 | 0.05 | 2.0x | 117 | 26% |
| EMA 크로스오버 fast=85, slow=200 |
1.6% | -79.9% | 0.18 | 0.02 | 1.5x | 31 | 53% |
| 볼린저 밴드 돌파 n=25, k=3 |
1.1% | -45.8% | 0.18 | 0.02 | 1.3x | 33 | 7% |
| Donchian 채널 돌파 entryN=21, exitN=59 |
0.8% | -76.6% | 0.16 | 0.01 | 1.2x | 85 | 74% |
| Supertrend period=15, mult=5 |
-0.4% | -71.5% | 0.09 | -0.01 | 0.9x | 93 | 55% |
| ROC 모멘텀 n=71, threshold=-0.04 |
-2.8% | -89.4% | 0.00 | -0.03 | 0.5x | 295 | 66% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=28, mult=2.9 |
-0.7% | -61.2% | -0.02 | -0.01 | 0.8x | 72 | 10% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-7.0% | -91.5% | -0.23 | -0.08 | 0.2x | 209 | 51% |
| MACD fast=16, slow=35, signal=16 |
-9.3% | -94.5% | -0.33 | -0.10 | 0.1x | 367 | 51% |
| Buy and hold | 5.1% | -67.8% | 0.32 | 0.07 | 3.5x | 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 23-day average price crosses above the 78-day average
- Sell — Sell (to cash) when the 23-day average falls below the 78-day average