Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokai Carbon Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tokai Carbon 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 10.0%, MDD -55.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.6%, drawdown -84.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -55.8%, Sharpe 0.48, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 28.5%p (CAGR 10.0%, MDD -55.8%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=16, slow=106 |
10.0% | -55.8% | 0.48 | 0.18 | 12.5x | 75 | 53% |
| EMA 크로스오버 fast=38, slow=81 |
9.3% | -68.8% | 0.46 | 0.13 | 10.6x | 71 | 53% |
| 볼린저 밴드 돌파 n=64, k=1.3 |
7.7% | -59.2% | 0.42 | 0.13 | 7.2x | 126 | 43% |
| Donchian 채널 돌파 entryN=91, exitN=32 |
7.2% | -50.2% | 0.42 | 0.14 | 6.3x | 54 | 34% |
| ROC 모멘텀 n=94, threshold=0.09 |
7.0% | -64.3% | 0.40 | 0.11 | 6.0x | 211 | 38% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=2.9 |
6.6% | -47.1% | 0.39 | 0.14 | 5.5x | 98 | 34% |
| ADX / DI 방향성 period=45, threshold=32 |
2.9% | -16.8% | 0.38 | 0.17 | 2.1x | 4 | 2% |
| Supertrend period=29, mult=4.6 |
3.3% | -77.2% | 0.26 | 0.04 | 2.4x | 116 | 53% |
| MACD fast=18, slow=23, signal=21 |
1.2% | -77.6% | 0.18 | 0.02 | 1.4x | 336 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.9% | -79.9% | 0.17 | 0.01 | 1.3x | 206 | 50% |
| Buy and hold | 8.6% | -84.2% | 0.41 | 0.10 | 9.0x | 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 16-day average price crosses above the 106-day average
- Sell — Sell (to cash) when the 16-day average falls below the 106-day average