Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sansan, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sansan, Inc.. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.4%, MDD -43.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.5%, drawdown -77.4%).
Sharpe leader (same as main): MACD — CAGR 15.0%, MDD -55.9%, Sharpe 0.55, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 13.4%, MDD -43.6%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=30, signal=7 |
15.0% | -55.9% | 0.55 | 0.27 | 2.7x | 113 | 50% |
| Donchian 채널 돌파 entryN=12, exitN=61 |
14.7% | -49.4% | 0.53 | 0.30 | 2.7x | 25 | 77% |
| SMA 크로스오버 fast=25, slow=151 |
13.4% | -43.6% | 0.52 | 0.31 | 2.5x | 15 | 56% |
| Supertrend period=22, mult=2.6 |
11.9% | -56.9% | 0.49 | 0.21 | 2.2x | 63 | 50% |
| EMA 크로스오버 fast=49, slow=79 |
11.6% | -53.9% | 0.48 | 0.21 | 2.2x | 11 | 58% |
| 볼린저 밴드 돌파 n=17, k=1.5 |
10.3% | -51.0% | 0.47 | 0.20 | 2.0x | 93 | 37% |
| ROC 모멘텀 n=167, threshold=0.1 |
9.3% | -49.1% | 0.43 | 0.19 | 1.9x | 57 | 43% |
| Parabolic SAR step=0.015, maxStep=0.28 |
9.1% | -53.7% | 0.42 | 0.17 | 1.9x | 123 | 52% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=23, mult=1.5 |
6.4% | -55.1% | 0.36 | 0.12 | 1.6x | 63 | 33% |
| ADX / DI 방향성 period=14, threshold=16 |
0.9% | -63.6% | 0.21 | 0.01 | 1.1x | 125 | 42% |
| Buy and hold | 7.5% | -77.4% | 0.41 | 0.10 | 1.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/30) crosses above its 7-day signal line
- Sell — Sell when the MACD line crosses back below the signal line