Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Takeuchi Mfg.Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Takeuchi Mfg.Co., Ltd.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.8%, MDD -51.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 19.0%, drawdown -93.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.1%, MDD -54.9%, Sharpe 0.70, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 19.8%, MDD -51.8%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=10, slow=50 |
20.1% | -54.9% | 0.70 | 0.37 | 76.5x | 133 | 58% |
| SMA 크로스오버 fast=10, slow=43 |
19.8% | -51.8% | 0.70 | 0.38 | 72.4x | 155 | 56% |
| Supertrend period=9, mult=4.9 |
18.6% | -70.5% | 0.66 | 0.26 | 57.2x | 87 | 58% |
| Donchian 채널 돌파 entryN=28, exitN=23 |
16.8% | -63.7% | 0.64 | 0.26 | 40.0x | 105 | 52% |
| ROC 모멘텀 n=63, threshold=-0.08 |
15.4% | -78.7% | 0.56 | 0.20 | 30.0x | 241 | 73% |
| 볼린저 밴드 돌파 n=30, k=1.6 |
12.3% | -49.3% | 0.55 | 0.25 | 15.7x | 192 | 40% |
| ADX / DI 방향성 period=18, threshold=27 |
8.0% | -49.9% | 0.48 | 0.16 | 6.2x | 78 | 15% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=21, mult=2.1 |
9.3% | -47.6% | 0.47 | 0.20 | 8.2x | 178 | 31% |
| Parabolic SAR step=0.035, maxStep=0.28 |
9.8% | -59.5% | 0.44 | 0.16 | 9.2x | 619 | 52% |
| MACD fast=16, slow=48, signal=9 |
8.9% | -67.4% | 0.42 | 0.13 | 7.5x | 338 | 53% |
| Buy and hold | 19.0% | -93.9% | 0.60 | 0.20 | 61.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 10-day EMA crosses above the 50-day EMA
- Sell — Sell when the 10-day EMA falls below the 50-day EMA