Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daifuku Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Daifuku Co., Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 12.9%, MDD -57.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.5%, drawdown -84.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -57.4%, Sharpe 0.62, 47% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 26.8%p (CAGR 12.9%, MDD -57.4%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=242, threshold=0.12 |
12.9% | -57.4% | 0.62 | 0.22 | 22.4x | 139 | 47% |
| SMA 크로스오버 fast=44, slow=222 |
12.8% | -76.4% | 0.58 | 0.17 | 21.8x | 33 | 57% |
| EMA 크로스오버 fast=35, slow=57 |
12.6% | -56.3% | 0.57 | 0.22 | 21.2x | 66 | 56% |
| ADX / DI 방향성 period=25, threshold=27 |
6.1% | -32.9% | 0.55 | 0.18 | 4.5x | 48 | 13% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=17, mult=2.4 |
9.4% | -50.1% | 0.54 | 0.19 | 10.1x | 114 | 37% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
9.7% | -48.8% | 0.53 | 0.20 | 10.7x | 116 | 40% |
| Supertrend period=19, mult=4.9 |
9.2% | -69.6% | 0.47 | 0.13 | 9.6x | 96 | 52% |
| Donchian 채널 돌파 entryN=84, exitN=41 |
8.1% | -43.5% | 0.45 | 0.19 | 7.4x | 54 | 44% |
| Parabolic SAR step=0.02, maxStep=0.06 |
2.6% | -78.8% | 0.23 | 0.03 | 1.9x | 362 | 55% |
| MACD fast=16, slow=40, signal=19 |
-0.0% | -82.1% | 0.13 | -0.00 | 1.0x | 312 | 51% |
| Buy and hold | 13.5% | -84.2% | 0.52 | 0.16 | 25.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 242-day return is greater than 12%
- Sell — Sell when the 242-day return drops to 12% or below