Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sankyo Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sankyo 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 6.4%, MDD -46.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.9%, drawdown -68.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -46.3%, Sharpe 0.40, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 6.4%, MDD -46.3%, exposure 51%).
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=37, slow=217 |
6.4% | -46.3% | 0.40 | 0.14 | 4.8x | 30 | 51% |
| EMA 크로스오버 fast=43, slow=190 |
5.8% | -55.3% | 0.37 | 0.10 | 4.2x | 28 | 50% |
| Supertrend period=17, mult=5 |
5.1% | -57.6% | 0.34 | 0.09 | 3.6x | 71 | 51% |
| Donchian 채널 돌파 entryN=109, exitN=44 |
2.6% | -62.3% | 0.24 | 0.04 | 1.9x | 40 | 34% |
| 볼린저 밴드 돌파 n=32, k=2.8 |
1.7% | -27.5% | 0.21 | 0.06 | 1.6x | 59 | 14% |
| ADX / DI 방향성 period=18, threshold=27 |
1.3% | -28.5% | 0.18 | 0.04 | 1.4x | 71 | 11% |
| ROC 모멘텀 n=147, threshold=0.01 |
0.6% | -77.9% | 0.13 | 0.01 | 1.2x | 180 | 50% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=25, mult=3 |
-0.7% | -65.0% | -0.00 | -0.01 | 0.8x | 77 | 14% |
| MACD fast=19, slow=57, signal=16 |
-2.4% | -84.6% | -0.03 | -0.03 | 0.5x | 271 | 50% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-4.2% | -87.4% | -0.11 | -0.05 | 0.3x | 327 | 51% |
| Buy and hold | 4.9% | -68.6% | 0.31 | 0.07 | 3.4x | 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 37-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 37-day average falls below the 217-day average