Trend-Following Backtester · Guide · backtest 한국어
equity · JP
C. Uyemura & Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of C. Uyemura & Co., Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 17.1%, MDD -39.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.8%, drawdown -82.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.1%, MDD -39.6%, Sharpe 0.71, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 17.1%, MDD -39.6%, exposure 56%).
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=55, slow=68 |
17.1% | -39.6% | 0.71 | 0.43 | 63.5x | 129 | 56% |
| Donchian 채널 돌파 entryN=43, exitN=59 |
13.2% | -54.6% | 0.58 | 0.24 | 26.0x | 54 | 63% |
| EMA 크로스오버 fast=36, slow=176 |
11.7% | -47.2% | 0.53 | 0.25 | 18.4x | 39 | 63% |
| 볼린저 밴드 돌파 n=55, k=2 |
9.3% | -39.7% | 0.53 | 0.23 | 10.3x | 98 | 36% |
| ADX / DI 방향성 period=21, threshold=18 |
8.9% | -43.6% | 0.52 | 0.20 | 9.3x | 190 | 32% |
| ROC 모멘텀 n=63, threshold=-0.03 |
8.9% | -49.6% | 0.44 | 0.18 | 9.5x | 298 | 63% |
| Parabolic SAR step=0.01, maxStep=0.1 |
7.5% | -52.7% | 0.41 | 0.14 | 6.6x | 292 | 51% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=3.2 |
5.8% | -50.3% | 0.38 | 0.12 | 4.4x | 100 | 29% |
| Supertrend period=18, mult=4.2 |
5.6% | -66.9% | 0.34 | 0.08 | 4.2x | 152 | 61% |
| MACD fast=7, slow=56, signal=17 |
-1.4% | -90.3% | 0.08 | -0.02 | 0.7x | 426 | 51% |
| Buy and hold | 12.8% | -82.6% | 0.51 | 0.16 | 24.1x | 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 55-day average price crosses above the 68-day average
- Sell — Sell (to cash) when the 55-day average falls below the 68-day average