Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daido Steel Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Daido Steel Co., Ltd.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.0%, MDD -48.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.4%, drawdown -84.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -64.5%, Sharpe 0.48, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR 6.0%, MDD -48.1%, exposure 29%).
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=26, slow=177 |
9.4% | -64.5% | 0.48 | 0.15 | 9.9x | 43 | 50% |
| EMA 크로스오버 fast=17, slow=146 |
8.6% | -59.5% | 0.45 | 0.15 | 8.3x | 55 | 51% |
| Donchian 채널 돌파 entryN=52, exitN=43 |
8.0% | -64.3% | 0.43 | 0.12 | 7.2x | 63 | 50% |
| 볼린저 밴드 돌파 n=45, k=2.4 |
6.0% | -48.1% | 0.39 | 0.12 | 4.4x | 94 | 29% |
| ADX / DI 방향성 period=33, threshold=12 |
5.6% | -58.8% | 0.35 | 0.10 | 4.0x | 192 | 39% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=18, mult=3.2 |
4.5% | -48.8% | 0.34 | 0.09 | 3.1x | 94 | 25% |
| ROC 모멘텀 n=96, threshold=-0.04 |
4.9% | -80.0% | 0.31 | 0.06 | 3.4x | 213 | 58% |
| Supertrend period=18, mult=3.4 |
3.3% | -73.3% | 0.26 | 0.05 | 2.3x | 174 | 56% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-1.2% | -88.7% | 0.09 | -0.01 | 0.7x | 518 | 52% |
| MACD fast=16, slow=45, signal=13 |
-3.9% | -90.3% | -0.00 | -0.04 | 0.4x | 340 | 51% |
| Buy and hold | 5.4% | -84.1% | 0.34 | 0.06 | 3.9x | 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 26-day average price crosses above the 177-day average
- Sell — Sell (to cash) when the 26-day average falls below the 177-day average