Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Resonac Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Resonac Holdings Corporation. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.1%, MDD -50.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.5%, drawdown -83.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.1%, MDD -50.6%, Sharpe 0.61, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 32.6%p (CAGR 14.1%, MDD -50.6%, exposure 53%).
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=26, slow=53 |
14.1% | -50.6% | 0.61 | 0.28 | 33.7x | 116 | 53% |
| ADX / DI 방향성 period=29, threshold=26 |
8.0% | -24.8% | 0.60 | 0.32 | 7.7x | 22 | 9% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=28, mult=3.6 |
11.0% | -57.4% | 0.59 | 0.19 | 16.2x | 60 | 27% |
| EMA 크로스오버 fast=83, slow=106 |
12.4% | -62.3% | 0.55 | 0.20 | 22.6x | 33 | 53% |
| Supertrend period=8, mult=4.7 |
11.8% | -79.2% | 0.53 | 0.15 | 19.4x | 95 | 54% |
| Donchian 채널 돌파 entryN=39, exitN=50 |
11.4% | -63.8% | 0.52 | 0.18 | 17.7x | 70 | 57% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
8.5% | -55.1% | 0.50 | 0.15 | 8.7x | 60 | 24% |
| ROC 모멘텀 n=83, threshold=0.11 |
8.6% | -64.7% | 0.46 | 0.13 | 9.1x | 241 | 33% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.0% | -86.5% | 0.14 | 0.00 | 1.0x | 215 | 52% |
| MACD fast=24, slow=42, signal=17 |
-4.4% | -94.4% | -0.02 | -0.05 | 0.3x | 293 | 53% |
| Buy and hold | 10.5% | -83.2% | 0.45 | 0.13 | 14.2x | 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 26-day average price crosses above the 53-day average
- Sell — Sell (to cash) when the 26-day average falls below the 53-day average