Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsubishi Electric Corp. backtest
10 trend-following strategies were compared on the full daily history of Mitsubishi Electric Corp.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.6%, MDD -49.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.4%, drawdown -79.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.6%, MDD -49.5%, Sharpe 0.46, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 8.6%, MDD -49.5%, exposure 59%).
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=46, slow=201 |
8.6% | -49.5% | 0.46 | 0.17 | 9.0x | 29 | 59% |
| SMA 크로스오버 fast=48, slow=224 |
7.9% | -51.6% | 0.43 | 0.15 | 7.6x | 33 | 59% |
| ROC 모멘텀 n=148, threshold=-0.01 |
5.3% | -64.1% | 0.33 | 0.08 | 4.0x | 183 | 61% |
| Supertrend period=9, mult=4.5 |
4.5% | -47.2% | 0.30 | 0.10 | 3.2x | 116 | 58% |
| Donchian 채널 돌파 entryN=35, exitN=39 |
4.1% | -63.4% | 0.29 | 0.06 | 2.9x | 88 | 59% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=29, mult=3.4 |
2.9% | -48.9% | 0.24 | 0.06 | 2.1x | 82 | 36% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
1.0% | -53.3% | 0.15 | 0.02 | 1.3x | 38 | 16% |
| ADX / DI 방향성 period=20, threshold=38 |
0.4% | -12.2% | 0.14 | 0.03 | 1.1x | 8 | 2% |
| MACD fast=19, slow=45, signal=18 |
-6.7% | -86.6% | -0.17 | -0.08 | 0.2x | 306 | 52% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-7.8% | -92.2% | -0.21 | -0.08 | 0.1x | 486 | 54% |
| Buy and hold | 8.4% | -79.1% | 0.40 | 0.11 | 8.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 201-day EMA
- Sell — Sell when the 46-day EMA falls below the 201-day EMA