Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Corporation backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Corporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -48.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.6%, drawdown -75.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.4%, MDD -50.3%, Sharpe 0.48, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 25.5%p (CAGR 8.1%, MDD -48.2%, exposure 57%).
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=44, slow=272 |
8.4% | -50.3% | 0.48 | 0.17 | 8.5x | 27 | 59% |
| SMA 크로스오버 fast=56, slow=172 |
8.1% | -48.2% | 0.47 | 0.17 | 8.0x | 39 | 57% |
| Donchian 채널 돌파 entryN=100, exitN=44 |
4.6% | -48.8% | 0.34 | 0.09 | 3.3x | 50 | 44% |
| ROC 모멘텀 n=201, threshold=0.01 |
4.4% | -71.7% | 0.31 | 0.06 | 3.2x | 155 | 60% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=7, mult=2.1 |
2.6% | -55.6% | 0.24 | 0.05 | 2.0x | 117 | 42% |
| ADX / DI 방향성 period=28, threshold=26 |
1.2% | -18.6% | 0.19 | 0.06 | 1.4x | 24 | 6% |
| 볼린저 밴드 돌파 n=52, k=1.6 |
0.6% | -71.7% | 0.12 | 0.01 | 1.2x | 135 | 39% |
| MACD fast=12, slow=59, signal=22 |
-3.7% | -86.4% | -0.06 | -0.04 | 0.4x | 319 | 54% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.8% | -79.0% | -0.08 | -0.05 | 0.4x | 455 | 54% |
| Supertrend period=25, mult=3.5 |
-4.0% | -86.3% | -0.09 | -0.05 | 0.3x | 203 | 53% |
| Buy and hold | 7.6% | -75.9% | 0.39 | 0.10 | 7.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 44-day EMA crosses above the 272-day EMA
- Sell — Sell when the 44-day EMA falls below the 272-day EMA