Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hitachi Construction Machinery Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hitachi Construction Machinery Co., Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.6%, MDD -55.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -83.5%).
Sharpe leader (same as main): Supertrend — CAGR 9.6%, MDD -55.7%, Sharpe 0.48, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 27.8%p (CAGR 9.6%, MDD -55.7%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=6, mult=4.9 |
9.6% | -55.7% | 0.48 | 0.17 | 10.5x | 105 | 52% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=22, mult=2.3 |
8.7% | -53.8% | 0.48 | 0.16 | 8.5x | 113 | 41% |
| SMA 크로스오버 fast=44, slow=154 |
8.8% | -59.8% | 0.44 | 0.15 | 8.7x | 48 | 53% |
| Donchian 채널 돌파 entryN=18, exitN=48 |
7.9% | -65.8% | 0.40 | 0.12 | 7.1x | 95 | 75% |
| ADX / DI 방향성 period=28, threshold=6 |
7.0% | -59.5% | 0.39 | 0.12 | 5.7x | 375 | 52% |
| EMA 크로스오버 fast=36, slow=185 |
6.9% | -72.1% | 0.38 | 0.10 | 5.5x | 45 | 56% |
| 볼린저 밴드 돌파 n=23, k=1.3 |
5.7% | -49.9% | 0.35 | 0.11 | 4.1x | 295 | 42% |
| ROC 모멘텀 n=67, threshold=-0.03 |
5.7% | -69.6% | 0.34 | 0.08 | 4.1x | 295 | 62% |
| MACD fast=16, slow=54, signal=16 |
5.3% | -65.3% | 0.33 | 0.08 | 3.8x | 295 | 53% |
| Parabolic SAR step=0.03, maxStep=0.44 |
-3.0% | -85.0% | 0.03 | -0.04 | 0.5x | 679 | 53% |
| Buy and hold | 10.8% | -83.5% | 0.46 | 0.13 | 13.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 6-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)