Trend-Following Backtester · Guide · backtest 한국어
equity · JP
BIPROGY Inc. backtest
10 trend-following strategies were compared on the full daily history of BIPROGY Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.5%, MDD -51.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.6%, drawdown -84.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.5%, MDD -51.0%, Sharpe 0.44, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 8.5%, MDD -51.0%, exposure 64%).
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=73, slow=281 |
8.5% | -51.0% | 0.44 | 0.17 | 8.1x | 14 | 64% |
| SMA 크로스오버 fast=38, slow=201 |
3.2% | -73.0% | 0.25 | 0.04 | 2.2x | 40 | 59% |
| Donchian 채널 돌파 entryN=84, exitN=76 |
2.0% | -69.2% | 0.20 | 0.03 | 1.6x | 39 | 56% |
| 볼린저 밴드 돌파 n=28, k=2.8 |
1.6% | -42.6% | 0.18 | 0.04 | 1.5x | 86 | 18% |
| ADX / DI 방향성 period=10, threshold=33 |
1.3% | -34.6% | 0.16 | 0.04 | 1.4x | 157 | 15% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=8, mult=4 |
1.0% | -30.5% | 0.14 | 0.03 | 1.3x | 30 | 8% |
| Supertrend period=38, mult=4.4 |
0.0% | -67.5% | 0.13 | 0.00 | 1.0x | 111 | 53% |
| ROC 모멘텀 n=108, threshold=-0.04 |
-1.2% | -79.0% | 0.09 | -0.02 | 0.7x | 263 | 65% |
| MACD fast=16, slow=45, signal=13 |
-1.2% | -67.9% | 0.07 | -0.02 | 0.7x | 343 | 52% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-4.5% | -85.7% | -0.06 | -0.05 | 0.3x | 613 | 52% |
| Buy and hold | 5.6% | -84.2% | 0.33 | 0.07 | 4.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 73-day EMA crosses above the 281-day EMA
- Sell — Sell when the 73-day EMA falls below the 281-day EMA