Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mizuno Corporation backtest
10 trend-following strategies were compared on the full daily history of Mizuno Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -68.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -60.0%, Sharpe 0.38, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=41, slow=184 |
6.2% | -60.0% | 0.38 | 0.10 | 4.7x | 41 | 53% |
| EMA 크로스오버 fast=22, slow=81 |
5.1% | -61.3% | 0.33 | 0.08 | 3.6x | 83 | 55% |
| ADX / DI 방향성 period=18, threshold=37 |
1.4% | -22.7% | 0.26 | 0.06 | 1.4x | 26 | 4% |
| Donchian 채널 돌파 entryN=17, exitN=74 |
2.6% | -80.9% | 0.23 | 0.03 | 1.9x | 85 | 79% |
| ROC 모멘텀 n=197, threshold=0.1 |
2.7% | -67.6% | 0.23 | 0.04 | 2.0x | 165 | 38% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
0.4% | -47.3% | 0.10 | 0.01 | 1.1x | 28 | 11% |
| Supertrend period=16, mult=4.9 |
-1.2% | -87.4% | 0.06 | -0.01 | 0.7x | 105 | 58% |
| MACD fast=17, slow=39, signal=19 |
-2.9% | -87.6% | -0.03 | -0.03 | 0.5x | 299 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.4% | -85.4% | -0.05 | -0.04 | 0.4x | 185 | 53% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=25, mult=3.4 |
-1.8% | -79.0% | -0.07 | -0.02 | 0.6x | 84 | 18% |
| Buy and hold | 7.9% | -68.6% | 0.40 | 0.11 | 6.9x | 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 41-day average price crosses above the 184-day average
- Sell — Sell (to cash) when the 41-day average falls below the 184-day average