Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Shiseido Company,Limited backtest
10 trend-following strategies were compared on the full daily history of Shiseido Company,Limited. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.4%, MDD -53.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.8%, drawdown -76.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -66.5%, Sharpe 0.31, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 4.4%, MDD -53.1%, exposure 52%).
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=205 |
4.5% | -66.5% | 0.31 | 0.07 | 3.2x | 32 | 52% |
| EMA 크로스오버 fast=46, slow=161 |
4.4% | -53.1% | 0.31 | 0.08 | 3.1x | 39 | 52% |
| ADX / DI 방향성 period=37, threshold=19 |
2.3% | -31.5% | 0.25 | 0.07 | 1.8x | 46 | 12% |
| Donchian 채널 돌파 entryN=107, exitN=61 |
1.5% | -61.6% | 0.17 | 0.02 | 1.5x | 42 | 41% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
0.7% | -29.1% | 0.12 | 0.02 | 1.2x | 24 | 9% |
| ROC 모멘텀 n=131, threshold=0.12 |
-0.2% | -62.4% | 0.07 | -0.00 | 0.9x | 211 | 29% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=32, mult=1.2 |
-0.7% | -59.9% | 0.06 | -0.01 | 0.8x | 237 | 41% |
| MACD fast=18, slow=34, signal=23 |
-1.3% | -67.7% | 0.04 | -0.02 | 0.7x | 275 | 50% |
| Supertrend period=9, mult=3.1 |
-2.2% | -69.1% | 0.01 | -0.03 | 0.6x | 217 | 52% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-5.0% | -81.3% | -0.13 | -0.06 | 0.3x | 439 | 51% |
| Buy and hold | 2.8% | -76.6% | 0.25 | 0.04 | 2.1x | 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 205-day average
- Sell — Sell (to cash) when the 54-day average falls below the 205-day average