Trend-Following Backtester · Guide · backtest 한국어
equity · JP
MARUWA CO., LTD. backtest
10 trend-following strategies were compared on the full daily history of MARUWA CO., LTD.. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.9%, MDD -41.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.1%, drawdown -76.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.6%, MDD -45.6%, Sharpe 0.64, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 13.9%, MDD -41.3%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=191, threshold=-0.01 |
16.6% | -45.6% | 0.64 | 0.36 | 50.3x | 91 | 63% |
| SMA 크로스오버 fast=33, slow=199 |
15.2% | -53.6% | 0.60 | 0.28 | 37.5x | 31 | 61% |
| EMA 크로스오버 fast=26, slow=204 |
13.9% | -41.3% | 0.57 | 0.34 | 27.9x | 29 | 63% |
| Donchian 채널 돌파 entryN=101, exitN=71 |
10.9% | -48.6% | 0.49 | 0.22 | 14.0x | 30 | 57% |
| 볼린저 밴드 돌파 n=56, k=3.4 |
6.1% | -20.9% | 0.46 | 0.29 | 4.6x | 24 | 14% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=25, mult=4 |
5.3% | -50.8% | 0.35 | 0.10 | 3.7x | 60 | 29% |
| ADX / DI 방향성 period=32, threshold=16 |
4.8% | -44.4% | 0.32 | 0.11 | 3.3x | 112 | 25% |
| Supertrend period=3, mult=4.5 |
2.7% | -71.9% | 0.24 | 0.04 | 2.0x | 148 | 58% |
| Parabolic SAR step=0.025, maxStep=0.34 |
-3.9% | -80.2% | -0.00 | -0.05 | 0.4x | 600 | 52% |
| MACD fast=14, slow=42, signal=15 |
-4.2% | -84.9% | -0.01 | -0.05 | 0.3x | 368 | 52% |
| Buy and hold | 12.1% | -76.0% | 0.48 | 0.16 | 18.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 191-day return is greater than -1%
- Sell — Sell when the 191-day return drops to -1% or below