Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokyo Electron Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tokyo Electron Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.1%, MDD -50.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.0%, drawdown -87.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.1%, MDD -50.5%, Sharpe 0.53, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 12.1%, MDD -50.5%, exposure 58%).
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=53, slow=103 |
12.1% | -50.5% | 0.53 | 0.24 | 20.7x | 67 | 58% |
| EMA 크로스오버 fast=27, slow=142 |
9.4% | -48.9% | 0.46 | 0.19 | 11.0x | 49 | 56% |
| Donchian 채널 돌파 entryN=11, exitN=65 |
9.9% | -77.4% | 0.44 | 0.13 | 12.2x | 95 | 84% |
| Supertrend period=13, mult=4.6 |
8.6% | -67.2% | 0.43 | 0.13 | 9.0x | 112 | 53% |
| ROC 모멘텀 n=76, threshold=0.08 |
7.1% | -58.9% | 0.40 | 0.12 | 6.2x | 275 | 43% |
| 볼린저 밴드 돌파 n=45, k=2.9 |
4.9% | -34.7% | 0.39 | 0.14 | 3.6x | 46 | 15% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=23, mult=3.6 |
3.7% | -34.1% | 0.33 | 0.11 | 2.6x | 58 | 10% |
| MACD fast=21, slow=43, signal=21 |
1.7% | -82.1% | 0.21 | 0.02 | 1.6x | 268 | 51% |
| ADX / DI 방향성 period=16, threshold=38 |
1.1% | -19.8% | 0.18 | 0.06 | 1.3x | 26 | 3% |
| Parabolic SAR step=0.02, maxStep=0.16 |
0.7% | -91.1% | 0.17 | 0.01 | 1.2x | 548 | 53% |
| Buy and hold | 10.0% | -87.9% | 0.44 | 0.11 | 12.7x | 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 53-day average price crosses above the 103-day average
- Sell — Sell (to cash) when the 53-day average falls below the 103-day average