Trend-Following Backtester · Guide · backtest 한국어
equity · JP
USS Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of USS Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.4%, drawdown -61.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -56.8%, Sharpe 0.47, 65% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=200 |
7.6% | -56.8% | 0.47 | 0.13 | 6.5x | 39 | 65% |
| EMA 크로스오버 fast=44, slow=146 |
5.8% | -64.8% | 0.39 | 0.09 | 4.2x | 43 | 66% |
| Donchian 채널 돌파 entryN=42, exitN=77 |
5.1% | -57.0% | 0.35 | 0.09 | 3.6x | 47 | 69% |
| ADX / DI 방향성 period=24, threshold=31 |
1.3% | -15.0% | 0.24 | 0.08 | 1.4x | 20 | 4% |
| Supertrend period=34, mult=4.9 |
2.2% | -64.2% | 0.21 | 0.03 | 1.7x | 89 | 60% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=26, mult=3.7 |
1.3% | -44.3% | 0.16 | 0.03 | 1.4x | 63 | 26% |
| 볼린저 밴드 돌파 n=59, k=1.9 |
1.3% | -55.5% | 0.16 | 0.02 | 1.4x | 111 | 38% |
| ROC 모멘텀 n=149, threshold=-0.01 |
0.4% | -81.0% | 0.12 | 0.00 | 1.1x | 251 | 66% |
| MACD fast=24, slow=37, signal=19 |
-3.2% | -77.9% | -0.09 | -0.04 | 0.4x | 277 | 52% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-6.0% | -86.8% | -0.25 | -0.07 | 0.2x | 464 | 54% |
| Buy and hold | 11.4% | -61.3% | 0.54 | 0.19 | 15.7x | 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 54-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 54-day average falls below the 200-day average