Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mercari, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mercari, Inc.. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.6%, MDD -42.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.7%, drawdown -77.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.1%, MDD -48.8%, Sharpe 0.53, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR 9.6%, MDD -42.6%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=17, slow=218 |
12.1% | -48.8% | 0.53 | 0.25 | 2.6x | 11 | 45% |
| SMA 크로스오버 fast=32, slow=103 |
11.3% | -42.7% | 0.49 | 0.26 | 2.4x | 17 | 51% |
| Donchian 채널 돌파 entryN=64, exitN=102 |
10.8% | -48.1% | 0.46 | 0.23 | 2.3x | 11 | 67% |
| 볼린저 밴드 돌파 n=53, k=1.1 |
9.6% | -42.6% | 0.46 | 0.23 | 2.1x | 39 | 40% |
| ROC 모멘텀 n=76, threshold=-0.03 |
9.3% | -53.4% | 0.43 | 0.17 | 2.1x | 73 | 55% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=18, mult=1.9 |
8.0% | -54.2% | 0.41 | 0.15 | 1.9x | 39 | 37% |
| Supertrend period=23, mult=4.2 |
7.7% | -54.7% | 0.39 | 0.14 | 1.8x | 31 | 48% |
| ADX / DI 방향성 period=30, threshold=18 |
4.6% | -57.4% | 0.32 | 0.08 | 1.4x | 32 | 22% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-6.6% | -70.9% | -0.02 | -0.09 | 0.6x | 166 | 48% |
| MACD fast=18, slow=50, signal=17 |
-9.0% | -73.4% | -0.07 | -0.12 | 0.5x | 98 | 51% |
| Buy and hold | -1.7% | -77.2% | 0.23 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 17-day EMA crosses above the 218-day EMA
- Sell — Sell when the 17-day EMA falls below the 218-day EMA