Trend-Following Backtester · Guide · backtest 한국어
equity · JP
HOYA CORPORATION backtest
10 trend-following strategies were compared on the full daily history of HOYA CORPORATION. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.6%, MDD -43.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.1%, drawdown -74.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -43.8%, Sharpe 0.55, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 30.9%p (CAGR 10.6%, MDD -43.8%, exposure 63%).
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=37, slow=262 |
10.6% | -43.8% | 0.55 | 0.24 | 13.0x | 27 | 63% |
| EMA 크로스오버 fast=35, slow=171 |
8.8% | -49.2% | 0.48 | 0.18 | 8.7x | 38 | 65% |
| Donchian 채널 돌파 entryN=90, exitN=65 |
6.4% | -42.2% | 0.41 | 0.15 | 4.9x | 38 | 52% |
| ADX / DI 방향성 period=51, threshold=14 |
2.9% | -38.7% | 0.28 | 0.07 | 2.1x | 44 | 23% |
| ROC 모멘텀 n=135, threshold=0.14 |
3.3% | -45.9% | 0.27 | 0.07 | 2.3x | 210 | 38% |
| Supertrend period=15, mult=5 |
2.5% | -70.4% | 0.22 | 0.04 | 1.9x | 88 | 59% |
| 볼린저 밴드 돌파 n=35, k=3.1 |
0.5% | -29.9% | 0.10 | 0.02 | 1.1x | 38 | 12% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=29, mult=3.1 |
-0.7% | -53.8% | 0.04 | -0.01 | 0.8x | 90 | 37% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.9% | -71.2% | -0.07 | -0.05 | 0.4x | 220 | 56% |
| MACD fast=19, slow=33, signal=18 |
-5.4% | -84.1% | -0.16 | -0.06 | 0.2x | 324 | 51% |
| Buy and hold | 10.1% | -74.7% | 0.46 | 0.14 | 11.7x | 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 37-day average price crosses above the 262-day average
- Sell — Sell (to cash) when the 37-day average falls below the 262-day average