Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Azbil Corporation backtest
10 trend-following strategies were compared on the full daily history of Azbil Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.7%, MDD -41.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.8%, drawdown -63.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.7%, MDD -41.7%, Sharpe 0.53, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 22.2%p (CAGR 9.7%, MDD -41.7%, exposure 63%).
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=35, slow=282 |
9.7% | -41.7% | 0.53 | 0.23 | 10.7x | 19 | 63% |
| EMA 크로스오버 fast=58, slow=216 |
8.5% | -45.1% | 0.48 | 0.19 | 8.2x | 23 | 63% |
| ADX / DI 방향성 period=25, threshold=36 |
1.6% | -11.6% | 0.37 | 0.13 | 1.5x | 8 | 2% |
| Donchian 채널 돌파 entryN=94, exitN=56 |
5.3% | -47.9% | 0.36 | 0.11 | 3.7x | 42 | 49% |
| 볼린저 밴드 돌파 n=36, k=2.6 |
3.6% | -36.8% | 0.35 | 0.10 | 2.5x | 74 | 19% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=16, mult=4 |
1.7% | -26.2% | 0.24 | 0.07 | 1.6x | 30 | 8% |
| ROC 모멘텀 n=136, threshold=0.01 |
1.0% | -65.2% | 0.15 | 0.02 | 1.3x | 215 | 57% |
| Supertrend period=13, mult=4.6 |
0.7% | -68.9% | 0.14 | 0.01 | 1.2x | 104 | 57% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-3.7% | -80.8% | -0.06 | -0.05 | 0.4x | 216 | 56% |
| MACD fast=16, slow=32, signal=15 |
-3.8% | -73.0% | -0.07 | -0.05 | 0.4x | 362 | 51% |
| Buy and hold | 9.8% | -63.9% | 0.46 | 0.15 | 11.0x | 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 35-day average price crosses above the 282-day average
- Sell — Sell (to cash) when the 35-day average falls below the 282-day average