Trend-Following Backtester · Guide · backtest 한국어
equity · JP
JEOL Ltd. backtest
10 trend-following strategies were compared on the full daily history of JEOL Ltd.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.6%, MDD -51.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.6%, drawdown -86.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.6%, MDD -62.1%, Sharpe 0.54, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 9.6%, MDD -51.3%, exposure 41%).
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=33, slow=68 |
12.6% | -62.1% | 0.54 | 0.20 | 20.8x | 55 | 53% |
| SMA 크로스오버 fast=15, slow=112 |
12.4% | -59.2% | 0.54 | 0.21 | 20.0x | 67 | 53% |
| Donchian 채널 돌파 entryN=57, exitN=71 |
12.0% | -66.1% | 0.53 | 0.18 | 18.2x | 47 | 54% |
| 볼린저 밴드 돌파 n=76, k=1.3 |
9.6% | -51.3% | 0.48 | 0.19 | 10.6x | 98 | 41% |
| ROC 모멘텀 n=130, threshold=0.09 |
8.6% | -56.5% | 0.44 | 0.15 | 8.3x | 157 | 41% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=23, mult=3.5 |
4.3% | -25.2% | 0.42 | 0.17 | 3.0x | 32 | 4% |
| Supertrend period=19, mult=5 |
7.1% | -78.3% | 0.38 | 0.09 | 5.8x | 98 | 53% |
| ADX / DI 방향성 period=22, threshold=18 |
4.5% | -72.2% | 0.30 | 0.06 | 3.1x | 188 | 31% |
| MACD fast=17, slow=41, signal=19 |
3.8% | -67.4% | 0.27 | 0.06 | 2.6x | 276 | 53% |
| Parabolic SAR step=0.01, maxStep=0.36 |
3.1% | -84.2% | 0.25 | 0.04 | 2.2x | 310 | 51% |
| Buy and hold | 7.6% | -86.2% | 0.38 | 0.09 | 6.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 68-day EMA
- Sell — Sell when the 33-day EMA falls below the 68-day EMA