Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Rinnai Corporation backtest
10 trend-following strategies were compared on the full daily history of Rinnai Corporation. 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 7.0%, drawdown -44.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.1%, MDD -49.4%, Sharpe 0.11, 59% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.2%, MDD -6.2%, exposure 0%.
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=25, slow=193 |
-0.1% | -49.4% | 0.11 | -0.00 | 1.0x | 56 | 59% |
| Donchian 채널 돌파 entryN=20, exitN=73 |
-0.4% | -56.5% | 0.11 | -0.01 | 0.9x | 71 | 77% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=8, mult=4 |
0.2% | -6.2% | 0.10 | 0.03 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=20, slow=191 |
-1.6% | -54.2% | 0.04 | -0.03 | 0.7x | 76 | 60% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
-0.3% | -31.0% | -0.02 | -0.01 | 0.9x | 16 | 5% |
| Supertrend period=13, mult=4.9 |
-3.2% | -75.4% | -0.05 | -0.04 | 0.4x | 95 | 55% |
| ROC 모멘텀 n=115, threshold=-0.04 |
-5.4% | -79.4% | -0.12 | -0.07 | 0.2x | 246 | 70% |
| ADX / DI 방향성 period=27, threshold=23 |
-1.1% | -28.2% | -0.15 | -0.04 | 0.7x | 30 | 6% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.1% | -77.2% | -0.18 | -0.07 | 0.3x | 205 | 53% |
| MACD fast=16, slow=28, signal=16 |
-6.0% | -86.5% | -0.21 | -0.07 | 0.2x | 345 | 52% |
| Buy and hold | 7.0% | -44.7% | 0.38 | 0.16 | 5.7x | 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 25-day average price crosses above the 193-day average
- Sell — Sell (to cash) when the 25-day average falls below the 193-day average