Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Saizeriya Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Saizeriya Co., Ltd.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.7%, MDD -20.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.9%, drawdown -80.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.1%, MDD -43.8%, Sharpe 0.37, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 2.7%, MDD -20.0%, exposure 6%).
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=23, slow=182 |
6.1% | -43.8% | 0.37 | 0.14 | 4.5x | 41 | 53% |
| ADX / DI 방향성 period=39, threshold=30 |
1.7% | -13.5% | 0.36 | 0.13 | 1.5x | 4 | 3% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
2.7% | -20.0% | 0.36 | 0.13 | 2.0x | 30 | 6% |
| Donchian 채널 돌파 entryN=21, exitN=19 |
5.4% | -49.9% | 0.35 | 0.11 | 3.9x | 153 | 51% |
| SMA 크로스오버 fast=6, slow=192 |
5.4% | -54.3% | 0.34 | 0.10 | 3.8x | 69 | 52% |
| Supertrend period=11, mult=5 |
5.2% | -47.6% | 0.34 | 0.11 | 3.7x | 93 | 52% |
| ROC 모멘텀 n=124, threshold=-0.03 |
4.4% | -61.2% | 0.30 | 0.07 | 3.0x | 203 | 59% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=1.8 |
1.9% | -54.3% | 0.20 | 0.04 | 1.6x | 163 | 44% |
| Parabolic SAR step=0.01, maxStep=0.18 |
1.0% | -52.5% | 0.16 | 0.02 | 1.3x | 328 | 54% |
| MACD fast=9, slow=33, signal=23 |
-0.2% | -66.1% | 0.10 | -0.00 | 0.9x | 362 | 52% |
| Buy and hold | 2.9% | -80.7% | 0.26 | 0.04 | 2.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 23-day EMA crosses above the 182-day EMA
- Sell — Sell when the 23-day EMA falls below the 182-day EMA