Trend-Following Backtester · Guide · backtest 한국어
equity · JP
IHI Corporation backtest
10 trend-following strategies were compared on the full daily history of IHI Corporation. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.1%, MDD -52.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.0%, drawdown -84.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.1%, MDD -52.6%, Sharpe 0.57, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 14.1%, MDD -52.6%, 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=28, slow=79 |
14.1% | -52.6% | 0.57 | 0.27 | 33.8x | 68 | 59% |
| SMA 크로스오버 fast=21, slow=67 |
13.9% | -63.9% | 0.56 | 0.22 | 32.1x | 101 | 56% |
| Donchian 채널 돌파 entryN=22, exitN=70 |
12.8% | -63.8% | 0.51 | 0.20 | 24.7x | 67 | 77% |
| ROC 모멘텀 n=145, threshold=0.07 |
10.5% | -64.6% | 0.49 | 0.16 | 14.2x | 202 | 50% |
| ADX / DI 방향성 period=47, threshold=16 |
8.3% | -50.6% | 0.47 | 0.16 | 8.3x | 48 | 20% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=28, mult=2.5 |
6.1% | -38.2% | 0.41 | 0.16 | 4.9x | 118 | 16% |
| Supertrend period=28, mult=4.7 |
7.8% | -59.7% | 0.40 | 0.13 | 7.4x | 115 | 51% |
| MACD fast=16, slow=70, signal=23 |
7.1% | -62.6% | 0.38 | 0.11 | 6.3x | 240 | 53% |
| 볼린저 밴드 돌파 n=12, k=3 |
1.6% | -16.6% | 0.34 | 0.10 | 1.5x | 10 | 1% |
| Parabolic SAR step=0.015, maxStep=0.36 |
2.2% | -82.8% | 0.22 | 0.03 | 1.8x | 440 | 52% |
| Buy and hold | 11.0% | -84.0% | 0.46 | 0.13 | 16.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 79-day EMA
- Sell — Sell when the 28-day EMA falls below the 79-day EMA