Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Terumo Corporation backtest
10 trend-following strategies were compared on the full daily history of Terumo Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.2%, MDD -44.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -65.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.2%, MDD -44.2%, Sharpe 0.41, 64% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.2%, MDD -58.4%, exposure 73%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 20.9%p (CAGR 7.2%, MDD -44.2%, exposure 64%).
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=42, slow=284 |
7.2% | -44.2% | 0.41 | 0.16 | 6.3x | 19 | 64% |
| ROC 모멘텀 n=267, threshold=-0.09 |
7.2% | -58.4% | 0.41 | 0.12 | 6.4x | 113 | 73% |
| SMA 크로스오버 fast=18, slow=284 |
4.3% | -44.0% | 0.30 | 0.10 | 3.1x | 41 | 61% |
| Donchian 채널 돌파 entryN=9, exitN=70 |
2.4% | -72.7% | 0.23 | 0.03 | 1.9x | 93 | 87% |
| MACD fast=18, slow=40, signal=19 |
0.8% | -50.2% | 0.15 | 0.02 | 1.2x | 295 | 51% |
| 볼린저 밴드 돌파 n=30, k=3 |
0.2% | -37.0% | 0.07 | 0.01 | 1.1x | 49 | 11% |
| Supertrend period=26, mult=3.3 |
-0.9% | -63.3% | 0.07 | -0.01 | 0.8x | 177 | 54% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=14, mult=2.7 |
-1.1% | -40.8% | 0.01 | -0.03 | 0.7x | 113 | 35% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.4% | -85.0% | -0.19 | -0.08 | 0.2x | 452 | 52% |
| ADX / DI 방향성 period=27, threshold=24 |
-1.7% | -39.2% | -0.21 | -0.04 | 0.6x | 46 | 7% |
| Buy and hold | 7.6% | -65.2% | 0.39 | 0.12 | 7.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 284-day EMA
- Sell — Sell when the 42-day EMA falls below the 284-day EMA