Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ADEKA Corporation backtest
10 trend-following strategies were compared on the full daily history of ADEKA Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.2%, MDD -54.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.5%, drawdown -79.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -54.0%, Sharpe 0.43, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 7.2%, MDD -54.0%, exposure 57%).
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=41, slow=206 |
7.2% | -54.0% | 0.43 | 0.13 | 5.9x | 31 | 57% |
| EMA 크로스오버 fast=42, slow=151 |
6.4% | -52.7% | 0.39 | 0.12 | 4.8x | 33 | 57% |
| Donchian 채널 돌파 entryN=88, exitN=51 |
4.3% | -41.2% | 0.33 | 0.10 | 2.9x | 46 | 42% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=2.5 |
3.4% | -40.0% | 0.29 | 0.09 | 2.4x | 100 | 34% |
| ADX / DI 방향성 period=27, threshold=28 |
1.6% | -20.3% | 0.29 | 0.08 | 1.5x | 18 | 5% |
| ROC 모멘텀 n=175, threshold=0.07 |
3.5% | -56.9% | 0.28 | 0.06 | 2.4x | 131 | 46% |
| Supertrend period=11, mult=4.8 |
3.0% | -55.0% | 0.25 | 0.06 | 2.2x | 87 | 55% |
| 볼린저 밴드 돌파 n=37, k=2.2 |
0.6% | -54.4% | 0.11 | 0.01 | 1.2x | 114 | 28% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.2% | -88.2% | -0.11 | -0.05 | 0.3x | 206 | 55% |
| MACD fast=7, slow=35, signal=15 |
-6.8% | -89.9% | -0.26 | -0.08 | 0.2x | 482 | 50% |
| Buy and hold | 6.5% | -79.0% | 0.36 | 0.08 | 5.0x | 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 41-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 41-day average falls below the 206-day average