Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sanwa Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Sanwa Holdings Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.6%, MDD -30.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.4%, drawdown -73.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.6%, MDD -30.2%, Sharpe 0.60, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 42.8%p (CAGR 11.6%, MDD -30.2%, exposure 59%).
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=15, slow=94 |
11.6% | -30.2% | 0.60 | 0.39 | 16.8x | 72 | 59% |
| EMA 크로스오버 fast=26, slow=71 |
11.3% | -37.6% | 0.58 | 0.30 | 15.5x | 68 | 60% |
| Donchian 채널 돌파 entryN=15, exitN=31 |
7.4% | -63.4% | 0.42 | 0.12 | 6.2x | 116 | 69% |
| Supertrend period=16, mult=4.2 |
5.5% | -73.7% | 0.35 | 0.08 | 4.0x | 98 | 57% |
| 볼린저 밴드 돌파 n=37, k=2.4 |
3.9% | -53.5% | 0.32 | 0.07 | 2.7x | 110 | 31% |
| ROC 모멘텀 n=75, threshold=-0.04 |
3.7% | -64.1% | 0.27 | 0.06 | 2.5x | 221 | 67% |
| ADX / DI 방향성 period=32, threshold=35 |
1.0% | -17.1% | 0.24 | 0.06 | 1.3x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=18, mult=3.4 |
1.5% | -25.0% | 0.23 | 0.06 | 1.5x | 44 | 9% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.9% | -75.2% | 0.20 | 0.03 | 1.6x | 208 | 57% |
| MACD fast=19, slow=43, signal=12 |
-5.8% | -86.5% | -0.17 | -0.07 | 0.2x | 360 | 51% |
| Buy and hold | 11.4% | -73.0% | 0.50 | 0.16 | 15.8x | 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 15-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 15-day average falls below the 94-day average