Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Rubber Industries, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Rubber Industries, Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.2%, MDD -49.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -68.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.0%, MDD -13.3%, Sharpe 0.43, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.2%, MDD -49.2%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 54.9%p (CAGR 5.2%, MDD -49.2%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=42, k=3.5 |
3.0% | -13.3% | 0.43 | 0.22 | 2.1x | 10 | 6% |
| ADX / DI 방향성 period=24, threshold=36 |
2.1% | -14.6% | 0.35 | 0.15 | 1.7x | 12 | 3% |
| SMA 크로스오버 fast=55, slow=115 |
5.2% | -49.2% | 0.33 | 0.11 | 3.7x | 56 | 53% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=28, mult=3.8 |
2.7% | -29.8% | 0.31 | 0.09 | 2.0x | 38 | 10% |
| Donchian 채널 돌파 entryN=97, exitN=9 |
2.4% | -36.6% | 0.25 | 0.07 | 1.8x | 82 | 18% |
| Supertrend period=20, mult=3.1 |
2.7% | -67.4% | 0.23 | 0.04 | 2.0x | 201 | 55% |
| EMA 크로스오버 fast=38, slow=79 |
0.8% | -60.2% | 0.15 | 0.01 | 1.2x | 71 | 54% |
| ROC 모멘텀 n=102, threshold=-0.08 |
-0.6% | -71.2% | 0.11 | -0.01 | 0.9x | 202 | 70% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.7% | -83.0% | 0.00 | -0.03 | 0.5x | 340 | 54% |
| MACD fast=10, slow=15, signal=11 |
-4.9% | -83.8% | -0.10 | -0.06 | 0.3x | 555 | 51% |
| Buy and hold | 6.3% | -68.2% | 0.35 | 0.09 | 4.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 42-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 42-day middle average