Trend-Following Backtester · Guide · backtest 한국어
equity · JP
JFE Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of JFE Holdings, Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -36.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.1%, drawdown -92.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -66.7%, Sharpe 0.38, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 25.8%p (CAGR 1.1%, MDD -36.7%, exposure 8%).
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=31, slow=192 |
6.4% | -66.7% | 0.38 | 0.10 | 4.4x | 36 | 53% |
| EMA 크로스오버 fast=47, slow=74 |
5.9% | -61.5% | 0.35 | 0.10 | 4.0x | 48 | 55% |
| Donchian 채널 돌파 entryN=41, exitN=67 |
5.5% | -58.2% | 0.33 | 0.09 | 3.6x | 49 | 61% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=24, mult=2 |
4.7% | -44.4% | 0.32 | 0.11 | 3.0x | 145 | 34% |
| ROC 모멘텀 n=136, threshold=-0.03 |
5.1% | -76.3% | 0.32 | 0.07 | 3.3x | 186 | 57% |
| 볼린저 밴드 돌파 n=30, k=2.4 |
3.5% | -54.0% | 0.29 | 0.06 | 2.3x | 105 | 24% |
| ADX / DI 방향성 period=32, threshold=23 |
1.1% | -36.7% | 0.15 | 0.03 | 1.3x | 28 | 8% |
| Supertrend period=8, mult=4.3 |
0.1% | -73.6% | 0.13 | 0.00 | 1.0x | 121 | 48% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-1.5% | -82.3% | 0.08 | -0.02 | 0.7x | 539 | 51% |
| MACD fast=18, slow=54, signal=19 |
-2.1% | -70.1% | 0.06 | -0.03 | 0.6x | 245 | 53% |
| Buy and hold | 1.1% | -92.5% | 0.22 | 0.01 | 1.3x | 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 31-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 31-day average falls below the 192-day average