Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Asics Corporation backtest
10 trend-following strategies were compared on the full daily history of Asics Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.9%, MDD -48.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.5%, drawdown -81.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.9%, MDD -48.9%, Sharpe 0.72, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 32.5%p (CAGR 19.9%, MDD -48.9%, exposure 65%).
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=44, slow=158 |
19.9% | -48.9% | 0.72 | 0.41 | 105.0x | 33 | 65% |
| EMA 크로스오버 fast=16, slow=217 |
19.4% | -53.7% | 0.71 | 0.36 | 94.1x | 39 | 66% |
| ROC 모멘텀 n=134, threshold=0 |
15.3% | -74.7% | 0.60 | 0.20 | 38.6x | 187 | 66% |
| Donchian 채널 돌파 entryN=88, exitN=75 |
14.1% | -57.0% | 0.58 | 0.25 | 29.2x | 37 | 64% |
| ADX / DI 방향성 period=36, threshold=17 |
6.7% | -54.5% | 0.41 | 0.12 | 5.2x | 76 | 26% |
| Supertrend period=11, mult=4.9 |
7.1% | -84.6% | 0.37 | 0.08 | 5.8x | 99 | 59% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=22, mult=4 |
2.6% | -19.4% | 0.36 | 0.13 | 1.9x | 26 | 5% |
| 볼린저 밴드 돌파 n=23, k=3.5 |
2.7% | -18.7% | 0.33 | 0.14 | 2.0x | 26 | 6% |
| MACD fast=15, slow=48, signal=9 |
1.8% | -85.3% | 0.21 | 0.02 | 1.6x | 404 | 49% |
| Parabolic SAR step=0.01, maxStep=0.14 |
0.5% | -82.0% | 0.16 | 0.01 | 1.1x | 326 | 53% |
| Buy and hold | 22.5% | -81.5% | 0.69 | 0.28 | 182.8x | 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 44-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 44-day average falls below the 158-day average