Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SCREEN Holdings Co., Ltd backtest
10 trend-following strategies were compared on the full daily history of SCREEN Holdings Co., Ltd. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.6%, MDD -49.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 12.0%, drawdown -91.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.6%, MDD -49.9%, Sharpe 0.69, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 41.3%p (CAGR 18.6%, MDD -49.9%, exposure 56%).
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=46, slow=119 |
18.6% | -49.9% | 0.69 | 0.37 | 79.0x | 51 | 56% |
| ROC 모멘텀 n=107, threshold=0.01 |
17.3% | -54.0% | 0.65 | 0.32 | 58.7x | 179 | 56% |
| EMA 크로스오버 fast=17, slow=180 |
16.7% | -51.7% | 0.64 | 0.32 | 51.6x | 47 | 57% |
| Donchian 채널 돌파 entryN=120, exitN=63 |
14.7% | -51.8% | 0.61 | 0.28 | 33.1x | 33 | 47% |
| 볼린저 밴드 돌파 n=25, k=3 |
6.8% | -26.5% | 0.52 | 0.25 | 5.3x | 52 | 10% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=29, mult=2.6 |
7.3% | -37.1% | 0.49 | 0.20 | 6.1x | 104 | 13% |
| ADX / DI 방향성 period=16, threshold=38 |
4.3% | -29.3% | 0.43 | 0.15 | 3.0x | 38 | 6% |
| Supertrend period=9, mult=4.1 |
6.4% | -71.9% | 0.36 | 0.09 | 4.9x | 142 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
6.3% | -77.4% | 0.35 | 0.08 | 4.7x | 216 | 52% |
| MACD fast=15, slow=38, signal=10 |
3.6% | -76.9% | 0.27 | 0.05 | 2.5x | 392 | 50% |
| Buy and hold | 12.0% | -91.2% | 0.48 | 0.13 | 18.3x | 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 46-day average price crosses above the 119-day average
- Sell — Sell (to cash) when the 46-day average falls below the 119-day average