Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Casio Computer Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Casio Computer Co., Ltd.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.8%, MDD -60.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.2%, drawdown -84.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.4%, MDD -74.9%, Sharpe 0.39, 45% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -68.3%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 9.5%p (CAGR 5.8%, MDD -60.0%, exposure 49%).
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=55, slow=267 |
6.4% | -74.9% | 0.39 | 0.09 | 5.3x | 27 | 45% |
| SMA 크로스오버 fast=52, slow=119 |
6.5% | -68.3% | 0.38 | 0.09 | 5.3x | 51 | 55% |
| Donchian 채널 돌파 entryN=85, exitN=71 |
5.8% | -60.0% | 0.36 | 0.10 | 4.5x | 33 | 49% |
| ADX / DI 방향성 period=22, threshold=44 |
0.4% | -3.2% | 0.28 | 0.14 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=116, threshold=0.1 |
2.1% | -55.4% | 0.20 | 0.04 | 1.7x | 239 | 35% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-0.2% | -60.8% | 0.12 | -0.00 | 1.0x | 207 | 51% |
| Supertrend period=9, mult=4.9 |
-0.9% | -77.8% | 0.09 | -0.01 | 0.8x | 111 | 53% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
0.2% | -16.1% | 0.07 | 0.01 | 1.1x | 11 | 2% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=23, mult=3.3 |
0.0% | -15.9% | 0.04 | 0.00 | 1.0x | 26 | 3% |
| MACD fast=19, slow=24, signal=18 |
-3.6% | -81.8% | -0.03 | -0.04 | 0.4x | 367 | 51% |
| Buy and hold | 4.2% | -84.4% | 0.29 | 0.05 | 3.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 267-day EMA
- Sell — Sell when the 55-day EMA falls below the 267-day EMA