Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Shin-Etsu Chemical Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Shin-Etsu Chemical 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 7.3%, drawdown -64.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.7%, MDD -57.0%, Sharpe 0.36, 55% 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=49, slow=152 |
5.7% | -57.0% | 0.36 | 0.10 | 4.4x | 43 | 55% |
| ROC 모멘텀 n=186, threshold=-0.03 |
3.1% | -60.3% | 0.25 | 0.05 | 2.3x | 181 | 61% |
| ADX / DI 방향성 period=32, threshold=27 |
1.0% | -13.6% | 0.24 | 0.07 | 1.3x | 10 | 3% |
| EMA 크로스오버 fast=55, slow=185 |
2.8% | -63.4% | 0.24 | 0.04 | 2.1x | 41 | 56% |
| Donchian 채널 돌파 entryN=111, exitN=49 |
2.6% | -57.6% | 0.23 | 0.05 | 2.0x | 46 | 40% |
| Supertrend period=4, mult=4.8 |
2.5% | -54.0% | 0.22 | 0.05 | 1.9x | 120 | 54% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
1.3% | -19.6% | 0.22 | 0.07 | 1.4x | 14 | 7% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=24, mult=3.8 |
1.4% | -39.1% | 0.17 | 0.04 | 1.5x | 68 | 22% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-0.8% | -56.0% | 0.08 | -0.01 | 0.8x | 214 | 52% |
| MACD fast=19, slow=40, signal=9 |
-6.5% | -83.8% | -0.18 | -0.08 | 0.2x | 426 | 51% |
| Buy and hold | 7.3% | -64.2% | 0.38 | 0.11 | 6.4x | 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 49-day average price crosses above the 152-day average
- Sell — Sell (to cash) when the 49-day average falls below the 152-day average