Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Zensho Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Zensho Holdings Co., Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.9%, MDD -53.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.9%, drawdown -83.1%).
Sharpe leader (same as main): Supertrend — CAGR 16.9%, MDD -53.3%, Sharpe 0.79, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 29.7%p (CAGR 16.9%, MDD -53.3%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=3.5 |
16.9% | -53.3% | 0.79 | 0.32 | 55.1x | 185 | 54% |
| Donchian 채널 돌파 entryN=49, exitN=6 |
11.3% | -45.9% | 0.76 | 0.25 | 15.7x | 151 | 24% |
| SMA 크로스오버 fast=58, slow=217 |
15.3% | -52.4% | 0.72 | 0.29 | 38.5x | 27 | 64% |
| EMA 크로스오버 fast=72, slow=138 |
15.9% | -52.7% | 0.72 | 0.30 | 44.4x | 31 | 67% |
| 볼린저 밴드 돌파 n=20, k=1.4 |
13.2% | -60.0% | 0.70 | 0.22 | 23.8x | 313 | 42% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=16, mult=2.6 |
11.8% | -50.4% | 0.68 | 0.23 | 17.4x | 141 | 32% |
| MACD fast=13, slow=33, signal=18 |
13.4% | -51.1% | 0.66 | 0.26 | 25.2x | 329 | 51% |
| ROC 모멘텀 n=138, threshold=-0.02 |
14.2% | -48.5% | 0.66 | 0.29 | 30.1x | 193 | 66% |
| Parabolic SAR step=0.01, maxStep=0.24 |
13.5% | -58.5% | 0.65 | 0.23 | 25.9x | 309 | 53% |
| ADX / DI 방향성 period=31, threshold=33 |
5.5% | -34.6% | 0.53 | 0.16 | 3.9x | 20 | 8% |
| Buy and hold | 19.9% | -83.1% | 0.72 | 0.24 | 104.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)