Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsubishi Corporation backtest
10 trend-following strategies were compared on the full daily history of Mitsubishi Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.9%, MDD -45.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.4%, drawdown -75.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.9%, MDD -45.7%, Sharpe 0.61, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 11.9%, MDD -45.7%, exposure 59%).
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=56, slow=81 |
11.9% | -45.7% | 0.61 | 0.26 | 19.8x | 96 | 59% |
| Donchian 채널 돌파 entryN=102, exitN=65 |
9.0% | -37.5% | 0.53 | 0.24 | 10.0x | 38 | 52% |
| EMA 크로스오버 fast=33, slow=121 |
8.7% | -44.6% | 0.48 | 0.19 | 9.1x | 50 | 61% |
| 볼린저 밴드 돌파 n=65, k=2.8 |
6.0% | -27.6% | 0.48 | 0.22 | 4.7x | 50 | 24% |
| ROC 모멘텀 n=75, threshold=0.03 |
7.9% | -50.2% | 0.47 | 0.16 | 7.5x | 298 | 54% |
| ADX / DI 방향성 period=25, threshold=32 |
2.7% | -18.6% | 0.43 | 0.15 | 2.0x | 20 | 6% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=15, mult=2.6 |
4.7% | -34.0% | 0.36 | 0.14 | 3.4x | 128 | 35% |
| Supertrend period=9, mult=4.4 |
3.6% | -57.6% | 0.27 | 0.06 | 2.6x | 135 | 56% |
| MACD fast=21, slow=48, signal=24 |
2.8% | -56.2% | 0.24 | 0.05 | 2.1x | 249 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-0.2% | -71.3% | 0.10 | -0.00 | 0.9x | 357 | 55% |
| Buy and hold | 11.4% | -75.2% | 0.49 | 0.15 | 17.6x | 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 56-day average price crosses above the 81-day average
- Sell — Sell (to cash) when the 56-day average falls below the 81-day average