Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Metal Mining Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Metal Mining 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 13.8%, MDD -44.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.7%, drawdown -82.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.8%, MDD -44.5%, Sharpe 0.60, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 38.3%p (CAGR 13.8%, MDD -44.5%, 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=44, slow=87 |
13.8% | -44.5% | 0.60 | 0.31 | 31.1x | 72 | 53% |
| Supertrend period=20, mult=4.5 |
12.9% | -55.3% | 0.58 | 0.23 | 25.3x | 115 | 51% |
| Donchian 채널 돌파 entryN=68, exitN=45 |
11.6% | -46.1% | 0.56 | 0.25 | 18.5x | 53 | 43% |
| 볼린저 밴드 돌파 n=56, k=2.5 |
9.3% | -46.4% | 0.53 | 0.20 | 10.8x | 67 | 27% |
| ADX / DI 방향성 period=39, threshold=20 |
8.0% | -35.8% | 0.53 | 0.22 | 7.7x | 28 | 14% |
| ROC 모멘텀 n=78, threshold=0.09 |
9.5% | -47.8% | 0.50 | 0.20 | 11.3x | 238 | 39% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=29, mult=3.9 |
8.6% | -44.0% | 0.49 | 0.20 | 9.1x | 65 | 31% |
| EMA 크로스오버 fast=43, slow=68 |
10.0% | -59.3% | 0.48 | 0.17 | 12.6x | 65 | 54% |
| MACD fast=17, slow=31, signal=7 |
7.3% | -61.7% | 0.39 | 0.12 | 6.6x | 435 | 50% |
| Parabolic SAR step=0.005, maxStep=0.14 |
4.3% | -70.6% | 0.29 | 0.06 | 3.1x | 225 | 51% |
| Buy and hold | 12.7% | -82.7% | 0.50 | 0.15 | 24.3x | 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 44-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 44-day average falls below the 87-day average