Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Shionogi & Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Shionogi & Co., Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -68.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.6%, MDD -68.8%, Sharpe 0.36, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.1 |
6.6% | -68.8% | 0.36 | 0.10 | 5.5x | 17 | 100% |
| ADX / DI 방향성 period=48, threshold=22 |
2.7% | -22.2% | 0.35 | 0.12 | 2.0x | 18 | 6% |
| SMA 크로스오버 fast=52, slow=211 |
4.8% | -55.2% | 0.31 | 0.09 | 3.4x | 34 | 53% |
| Donchian 채널 돌파 entryN=118, exitN=58 |
2.9% | -63.6% | 0.25 | 0.05 | 2.1x | 40 | 38% |
| Supertrend period=10, mult=4.6 |
1.0% | -77.8% | 0.16 | 0.01 | 1.3x | 113 | 54% |
| EMA 크로스오버 fast=36, slow=192 |
1.0% | -70.1% | 0.16 | 0.01 | 1.3x | 46 | 53% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=29, mult=4 |
0.3% | -8.6% | 0.12 | 0.03 | 1.1x | 8 | 1% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
0.4% | -16.8% | 0.09 | 0.02 | 1.1x | 14 | 4% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-0.8% | -75.7% | 0.07 | -0.01 | 0.8x | 339 | 51% |
| MACD fast=9, slow=26, signal=22 |
-2.8% | -78.2% | -0.03 | -0.04 | 0.5x | 419 | 50% |
| Buy and hold | 7.6% | -68.0% | 0.39 | 0.11 | 7.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -10%
- Sell — Sell when the 1-day return drops to -10% or below