Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Citizen Watch Co, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Citizen Watch Co, Ltd.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.8%, MDD -36.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.6%, drawdown -79.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.8%, MDD -36.7%, Sharpe 0.51, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 42.8%p (CAGR 9.8%, MDD -36.7%, exposure 53%).
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=36, slow=76 |
9.8% | -36.7% | 0.51 | 0.27 | 12.0x | 59 | 53% |
| SMA 크로스오버 fast=16, slow=156 |
8.3% | -46.7% | 0.45 | 0.18 | 8.3x | 55 | 51% |
| Donchian 채널 돌파 entryN=79, exitN=69 |
7.0% | -48.2% | 0.41 | 0.15 | 6.1x | 43 | 52% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
3.0% | -19.5% | 0.37 | 0.16 | 2.2x | 14 | 7% |
| ROC 모멘텀 n=128, threshold=0.05 |
2.8% | -71.4% | 0.24 | 0.04 | 2.1x | 197 | 45% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=2.3 |
2.6% | -54.1% | 0.23 | 0.05 | 2.0x | 123 | 37% |
| ADX / DI 방향성 period=38, threshold=27 |
1.0% | -15.0% | 0.22 | 0.07 | 1.3x | 8 | 2% |
| Supertrend period=31, mult=5 |
1.1% | -75.0% | 0.17 | 0.02 | 1.4x | 103 | 53% |
| MACD fast=15, slow=59, signal=18 |
0.4% | -76.0% | 0.14 | 0.00 | 1.1x | 295 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.6% | -81.1% | 0.09 | -0.01 | 0.8x | 335 | 52% |
| Buy and hold | 5.6% | -79.5% | 0.33 | 0.07 | 4.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 36-day EMA crosses above the 76-day EMA
- Sell — Sell when the 36-day EMA falls below the 76-day EMA