Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Taiyo Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Taiyo Holdings Co., Ltd.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.5%, MDD -36.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.5%, drawdown -63.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.5%, MDD -36.1%, Sharpe 0.46, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 27.4%p (CAGR 8.5%, MDD -36.1%, exposure 59%).
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=58, slow=127 |
8.5% | -36.1% | 0.46 | 0.24 | 8.0x | 37 | 59% |
| SMA 크로스오버 fast=43, slow=180 |
8.1% | -36.6% | 0.45 | 0.22 | 7.3x | 39 | 58% |
| Donchian 채널 돌파 entryN=47, exitN=55 |
6.2% | -50.1% | 0.38 | 0.12 | 4.6x | 58 | 55% |
| ROC 모멘텀 n=147, threshold=-0.04 |
6.2% | -56.9% | 0.37 | 0.11 | 4.6x | 181 | 66% |
| 볼린저 밴드 돌파 n=63, k=1.4 |
4.4% | -51.0% | 0.32 | 0.09 | 3.0x | 118 | 42% |
| Supertrend period=10, mult=4.7 |
4.4% | -57.5% | 0.30 | 0.08 | 3.0x | 92 | 58% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=26, mult=4 |
3.6% | -37.4% | 0.30 | 0.10 | 2.5x | 62 | 27% |
| ADX / DI 방향성 period=51, threshold=12 |
3.6% | -45.2% | 0.30 | 0.08 | 2.5x | 98 | 30% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.8% | -88.7% | -0.06 | -0.04 | 0.4x | 208 | 54% |
| MACD fast=19, slow=46, signal=13 |
-3.8% | -82.3% | -0.06 | -0.05 | 0.4x | 320 | 51% |
| Buy and hold | 7.5% | -63.5% | 0.38 | 0.12 | 6.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 127-day EMA
- Sell — Sell when the 58-day EMA falls below the 127-day EMA