Trend-Following Backtester · Guide · backtest 한국어
equity · JP
AMADA Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of AMADA Co., Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.2%, MDD -58.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.7%, drawdown -79.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -58.7%, Sharpe 0.36, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 20.3%p (CAGR 6.2%, MDD -58.7%, exposure 56%).
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=36, slow=150 |
6.2% | -58.7% | 0.36 | 0.10 | 4.6x | 53 | 56% |
| EMA 크로스오버 fast=38, slow=73 |
5.6% | -63.4% | 0.35 | 0.09 | 4.1x | 63 | 55% |
| Donchian 채널 돌파 entryN=75, exitN=48 |
4.9% | -72.3% | 0.33 | 0.07 | 3.4x | 53 | 45% |
| Supertrend period=17, mult=5 |
3.3% | -60.8% | 0.25 | 0.05 | 2.3x | 91 | 54% |
| ROC 모멘텀 n=95, threshold=-0.06 |
2.6% | -74.2% | 0.23 | 0.03 | 1.9x | 219 | 67% |
| ADX / DI 방향성 period=31, threshold=16 |
1.9% | -54.0% | 0.20 | 0.04 | 1.6x | 106 | 24% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
1.4% | -64.9% | 0.17 | 0.02 | 1.4x | 154 | 44% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=10, mult=1.4 |
1.2% | -70.9% | 0.17 | 0.02 | 1.4x | 198 | 45% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-0.5% | -68.8% | 0.10 | -0.01 | 0.9x | 130 | 55% |
| MACD fast=16, slow=47, signal=19 |
-3.4% | -82.8% | -0.01 | -0.04 | 0.4x | 286 | 52% |
| Buy and hold | 4.7% | -79.0% | 0.31 | 0.06 | 3.3x | 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 36-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 36-day average falls below the 150-day average