Trend-Following Backtester · Guide · backtest 한국어
equity · JP
HOSHIZAKI Corp. backtest
10 trend-following strategies were compared on the full daily history of HOSHIZAKI Corp.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.1%, drawdown -46.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.5%, MDD -43.1%, Sharpe 0.63, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 97% n=10, threshold=-0.1 |
14.5% | -43.1% | 0.63 | 0.34 | 10.9x | 81 | 97% |
| Donchian 채널 돌파 entryN=13, exitN=78 |
11.5% | -45.6% | 0.55 | 0.25 | 6.8x | 39 | 89% |
| EMA 크로스오버 fast=49, slow=110 |
8.1% | -60.3% | 0.45 | 0.13 | 3.9x | 29 | 70% |
| SMA 크로스오버 fast=20, slow=219 |
6.5% | -61.5% | 0.40 | 0.11 | 3.1x | 35 | 66% |
| Supertrend period=20, mult=3 |
3.8% | -52.9% | 0.29 | 0.07 | 1.9x | 125 | 55% |
| Parabolic SAR step=0.015, maxStep=0.24 |
1.6% | -55.7% | 0.18 | 0.03 | 1.3x | 285 | 55% |
| ADX / DI 방향성 period=27, threshold=25 |
0.5% | -13.4% | 0.12 | 0.04 | 1.1x | 20 | 6% |
| MACD fast=15, slow=30, signal=8 |
-0.0% | -61.2% | 0.10 | -0.00 | 1.0x | 305 | 50% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=12, mult=3 |
0.1% | -28.0% | 0.06 | 0.01 | 1.0x | 38 | 8% |
| 볼린저 밴드 돌파 n=54, k=1.5 |
-0.7% | -61.2% | 0.05 | -0.01 | 0.9x | 107 | 44% |
| Buy and hold | 17.1% | -46.5% | 0.68 | 0.37 | 16.2x | 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 10-day return is greater than -10%
- Sell — Sell when the 10-day return drops to -10% or below