Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yamato Kogyo Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yamato Kogyo Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.0%, drawdown -71.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -66.0%, Sharpe 0.56, 60% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=48, slow=73 |
12.3% | -66.0% | 0.56 | 0.19 | 19.4x | 95 | 60% |
| Donchian 채널 돌파 entryN=16, exitN=65 |
10.5% | -72.4% | 0.47 | 0.15 | 13.0x | 71 | 84% |
| ROC 모멘텀 n=104, threshold=-0.1 |
9.5% | -67.5% | 0.45 | 0.14 | 10.3x | 155 | 77% |
| EMA 크로스오버 fast=36, slow=54 |
8.7% | -54.0% | 0.44 | 0.16 | 8.5x | 81 | 62% |
| 볼린저 밴드 돌파 n=36, k=3.3 |
3.3% | -35.9% | 0.33 | 0.09 | 2.3x | 28 | 9% |
| Supertrend period=10, mult=3.4 |
4.5% | -71.3% | 0.30 | 0.06 | 3.1x | 171 | 57% |
| MACD fast=12, slow=16, signal=19 |
2.6% | -60.2% | 0.23 | 0.04 | 1.9x | 427 | 51% |
| ADX / DI 방향성 period=36, threshold=15 |
2.0% | -60.8% | 0.20 | 0.03 | 1.7x | 110 | 26% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=2.5 |
1.5% | -78.4% | 0.18 | 0.02 | 1.5x | 133 | 37% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.1% | -64.9% | 0.13 | 0.00 | 1.0x | 215 | 54% |
| Buy and hold | 15.0% | -71.1% | 0.56 | 0.21 | 35.7x | 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 48-day average price crosses above the 73-day average
- Sell — Sell (to cash) when the 48-day average falls below the 73-day average