Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Honda Motor Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Honda Motor Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -66.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.1%, MDD -48.0%, Sharpe 0.10, 52% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 0.1%, MDD -20.3%, exposure 5%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=52, slow=115 |
-0.1% | -48.0% | 0.10 | -0.00 | 1.0x | 69 | 52% |
| ADX / DI 방향성 period=31, threshold=22 |
0.1% | -20.3% | 0.05 | 0.01 | 1.0x | 24 | 5% |
| Donchian 채널 돌파 entryN=39, exitN=31 |
-1.2% | -60.8% | 0.04 | -0.02 | 0.7x | 99 | 44% |
| EMA 크로스오버 fast=59, slow=128 |
-2.3% | -72.4% | -0.01 | -0.03 | 0.5x | 65 | 54% |
| Supertrend period=13, mult=4.9 |
-2.8% | -73.2% | -0.01 | -0.04 | 0.5x | 105 | 50% |
| 볼린저 밴드 돌파 n=58, k=1.9 |
-2.3% | -71.9% | -0.06 | -0.03 | 0.5x | 113 | 33% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=16, mult=3.9 |
-0.3% | -11.8% | -0.14 | -0.02 | 0.9x | 6 | 0% |
| ROC 모멘텀 n=52, threshold=0 |
-5.4% | -86.5% | -0.15 | -0.06 | 0.2x | 439 | 54% |
| MACD fast=24, slow=39, signal=18 |
-6.7% | -90.1% | -0.19 | -0.07 | 0.2x | 293 | 53% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-10.2% | -96.3% | -0.37 | -0.11 | 0.1x | 443 | 52% |
| Buy and hold | 3.6% | -66.2% | 0.27 | 0.05 | 2.5x | 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 52-day average price crosses above the 115-day average
- Sell — Sell (to cash) when the 52-day average falls below the 115-day average