Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Bridgestone Corporation backtest
10 trend-following strategies were compared on the full daily history of Bridgestone Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.8%, MDD -44.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -69.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.8%, MDD -44.1%, Sharpe 0.33, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 25.6%p (CAGR 4.8%, MDD -44.1%, exposure 61%).
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=80, slow=328 |
4.8% | -44.1% | 0.33 | 0.11 | 3.5x | 17 | 61% |
| ADX / DI 방향성 period=26, threshold=31 |
1.5% | -14.2% | 0.30 | 0.11 | 1.5x | 8 | 2% |
| Donchian 채널 돌파 entryN=17, exitN=67 |
2.8% | -58.8% | 0.24 | 0.05 | 2.1x | 75 | 80% |
| SMA 크로스오버 fast=31, slow=142 |
1.3% | -58.5% | 0.17 | 0.02 | 1.4x | 63 | 55% |
| 볼린저 밴드 돌파 n=70, k=2.5 |
0.3% | -63.9% | 0.09 | 0.01 | 1.1x | 55 | 21% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=20, mult=4 |
0.3% | -46.8% | 0.08 | 0.01 | 1.1x | 55 | 15% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.5% | -68.5% | -0.01 | -0.04 | 0.5x | 223 | 55% |
| MACD fast=16, slow=43, signal=18 |
-3.0% | -74.0% | -0.04 | -0.04 | 0.4x | 313 | 52% |
| ROC 모멘텀 n=98, threshold=0.12 |
-1.7% | -53.2% | -0.05 | -0.03 | 0.6x | 249 | 25% |
| Supertrend period=17, mult=4.4 |
-3.9% | -88.9% | -0.07 | -0.04 | 0.4x | 139 | 56% |
| Buy and hold | 4.9% | -69.6% | 0.31 | 0.07 | 3.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 80-day EMA crosses above the 328-day EMA
- Sell — Sell when the 80-day EMA falls below the 328-day EMA