Trend-Following Backtester · Guide · backtest 한국어
equity · JP
DIC Corporation backtest
10 trend-following strategies were compared on the full daily history of DIC Corporation. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.0%, MDD -19.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.0%, drawdown -79.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.9%, MDD -56.3%, Sharpe 0.28, 52% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 1.0%, MDD -19.2%, exposure 3%).
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=23, slow=52 |
3.9% | -56.3% | 0.28 | 0.07 | 2.7x | 118 | 52% |
| EMA 크로스오버 fast=21, slow=186 |
3.7% | -46.5% | 0.28 | 0.08 | 2.5x | 51 | 49% |
| Donchian 채널 돌파 entryN=62, exitN=47 |
3.2% | -43.1% | 0.26 | 0.07 | 2.2x | 57 | 44% |
| 볼린저 밴드 돌파 n=38, k=3.3 |
1.6% | -25.2% | 0.23 | 0.06 | 1.5x | 26 | 8% |
| Supertrend period=10, mult=4.2 |
2.3% | -69.5% | 0.21 | 0.03 | 1.8x | 110 | 51% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=2.9 |
1.0% | -19.2% | 0.21 | 0.05 | 1.3x | 26 | 3% |
| ADX / DI 방향성 period=47, threshold=12 |
1.9% | -52.8% | 0.20 | 0.04 | 1.6x | 94 | 27% |
| ROC 모멘텀 n=95, threshold=-0.06 |
-0.9% | -67.4% | 0.10 | -0.01 | 0.8x | 221 | 65% |
| MACD fast=15, slow=48, signal=13 |
-3.6% | -87.3% | -0.04 | -0.04 | 0.4x | 344 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-3.8% | -78.4% | -0.06 | -0.05 | 0.4x | 338 | 50% |
| Buy and hold | 1.0% | -79.6% | 0.21 | 0.01 | 1.3x | 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 23-day average price crosses above the 52-day average
- Sell — Sell (to cash) when the 23-day average falls below the 52-day average