Trend-Following Backtester · Guide · backtest 한국어
equity · JP
JAPAN POST INSURANCE Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of JAPAN POST INSURANCE Co., Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 3.8%, MDD -28.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.7%, drawdown -69.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -34.9%, Sharpe 0.43, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.9%, MDD -47.6%, exposure 83%.
Return/drawdown alternative: Supertrend — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 34.2%p (CAGR 3.8%, MDD -28.1%, exposure 55%).
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=51, slow=87 |
6.7% | -34.9% | 0.43 | 0.19 | 2.0x | 29 | 54% |
| Donchian 채널 돌파 entryN=9, exitN=78 |
6.9% | -47.6% | 0.40 | 0.15 | 2.1x | 33 | 83% |
| 볼린저 밴드 돌파 n=12, k=2.8 |
1.9% | -14.6% | 0.35 | 0.13 | 1.2x | 20 | 6% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=16, mult=3.4 |
1.4% | -11.8% | 0.31 | 0.12 | 1.2x | 12 | 5% |
| ADX / DI 방향성 period=33, threshold=13 |
3.4% | -20.5% | 0.29 | 0.17 | 1.4x | 70 | 33% |
| Supertrend period=14, mult=5 |
3.8% | -28.1% | 0.29 | 0.13 | 1.5x | 37 | 55% |
| EMA 크로스오버 fast=53, slow=76 |
3.6% | -37.1% | 0.28 | 0.10 | 1.5x | 19 | 55% |
| ROC 모멘텀 n=89, threshold=-0.02 |
2.8% | -42.2% | 0.24 | 0.07 | 1.4x | 85 | 58% |
| MACD fast=17, slow=55, signal=18 |
1.6% | -41.2% | 0.18 | 0.04 | 1.2x | 108 | 51% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-2.1% | -49.9% | -0.01 | -0.04 | 0.8x | 170 | 52% |
| Buy and hold | 3.7% | -69.1% | 0.27 | 0.05 | 1.5x | 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 51-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 51-day average falls below the 87-day average