Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mazda Motor Corp. backtest
10 trend-following strategies were compared on the full daily history of Mazda Motor Corp.. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.3%, MDD -26.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.2%, drawdown -89.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.2%, MDD -63.5%, Sharpe 0.40, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 3.3%, MDD -26.4%, exposure 5%).
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=31, slow=85 |
7.2% | -63.5% | 0.40 | 0.11 | 6.3x | 55 | 47% |
| ADX / DI 방향성 period=35, threshold=24 |
3.3% | -26.4% | 0.37 | 0.13 | 2.4x | 18 | 5% |
| Donchian 채널 돌파 entryN=95, exitN=40 |
5.6% | -64.5% | 0.36 | 0.09 | 4.3x | 51 | 32% |
| 볼린저 밴드 돌파 n=68, k=1.2 |
5.2% | -63.7% | 0.33 | 0.08 | 3.8x | 121 | 38% |
| SMA 크로스오버 fast=8, slow=61 |
5.3% | -82.3% | 0.33 | 0.06 | 4.0x | 135 | 51% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=27, mult=2.5 |
4.6% | -58.2% | 0.32 | 0.08 | 3.3x | 128 | 27% |
| ROC 모멘텀 n=106, threshold=0.13 |
3.6% | -59.3% | 0.27 | 0.06 | 2.6x | 188 | 30% |
| Supertrend period=18, mult=3.4 |
3.4% | -70.7% | 0.26 | 0.05 | 2.5x | 183 | 47% |
| MACD fast=19, slow=41, signal=21 |
0.9% | -66.6% | 0.18 | 0.01 | 1.3x | 271 | 52% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-0.6% | -69.9% | 0.12 | -0.01 | 0.9x | 325 | 51% |
| Buy and hold | -2.2% | -89.8% | 0.16 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 85-day EMA
- Sell — Sell when the 31-day EMA falls below the 85-day EMA