Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sega Sammy Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Sega Sammy Holdings Inc.. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.0%, MDD -50.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.9%, drawdown -87.5%).
Sharpe leader (same as main): Supertrend — CAGR 9.8%, MDD -75.8%, Sharpe 0.31, 55% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.8%, MDD -69.7%, exposure 49%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 11.6%p (CAGR 9.0%, MDD -50.5%, exposure 50%).
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=5, mult=4.3 |
9.8% | -75.8% | 0.31 | 0.13 | 10.9x | 117 | 55% |
| ADX / DI 방향성 period=30, threshold=26 |
2.9% | -29.9% | 0.31 | 0.10 | 2.1x | 24 | 8% |
| SMA 크로스오버 fast=18, slow=78 |
9.8% | -69.7% | 0.31 | 0.14 | 11.1x | 87 | 49% |
| EMA 크로스오버 fast=16, slow=146 |
9.0% | -50.5% | 0.29 | 0.18 | 9.2x | 63 | 50% |
| 볼린저 밴드 돌파 n=46, k=1.6 |
3.9% | -61.2% | 0.29 | 0.06 | 2.7x | 125 | 37% |
| Donchian 채널 돌파 entryN=16, exitN=35 |
7.9% | -73.0% | 0.29 | 0.11 | 7.0x | 119 | 64% |
| ROC 모멘텀 n=52, threshold=0.04 |
8.5% | -70.2% | 0.28 | 0.12 | 8.2x | 275 | 41% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=1 |
8.3% | -66.3% | 0.28 | 0.12 | 7.7x | 201 | 44% |
| Parabolic SAR step=0.04, maxStep=0.28 |
-3.9% | -94.4% | 0.08 | -0.04 | 0.4x | 781 | 50% |
| MACD fast=7, slow=37, signal=5 |
-3.8% | -93.3% | 0.08 | -0.04 | 0.4x | 691 | 51% |
| Buy and hold | 6.9% | -87.5% | 0.30 | 0.08 | 5.6x | 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) — 5-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)