Trend-Following Backtester · Guide · backtest 한국어
equity · JP
H2O Retailing Corporation backtest
10 trend-following strategies were compared on the full daily history of H2O Retailing Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.1%, MDD -44.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.1%, drawdown -79.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -44.8%, Sharpe 0.33, 52% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.1%, MDD -46.0%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 34.6%p (CAGR 5.1%, MDD -44.8%, exposure 52%).
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=33, slow=261 |
5.1% | -44.8% | 0.33 | 0.11 | 3.5x | 29 | 52% |
| EMA 크로스오버 fast=51, slow=182 |
5.1% | -46.0% | 0.33 | 0.11 | 3.6x | 31 | 55% |
| Donchian 채널 돌파 entryN=14, exitN=58 |
2.0% | -77.3% | 0.21 | 0.03 | 1.7x | 87 | 78% |
| Supertrend period=21, mult=3.5 |
1.0% | -62.6% | 0.16 | 0.02 | 1.3x | 157 | 54% |
| ROC 모멘텀 n=114, threshold=0.01 |
0.1% | -65.7% | 0.12 | 0.00 | 1.0x | 235 | 53% |
| MACD fast=15, slow=49, signal=18 |
0.0% | -74.9% | 0.11 | 0.00 | 1.0x | 294 | 53% |
| 볼린저 밴드 돌파 n=32, k=1.1 |
-0.9% | -74.0% | 0.06 | -0.01 | 0.8x | 259 | 43% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=26, mult=1.7 |
-1.2% | -75.7% | 0.03 | -0.02 | 0.7x | 205 | 36% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-4.2% | -91.5% | -0.08 | -0.05 | 0.3x | 439 | 52% |
| ADX / DI 방향성 period=17, threshold=39 |
-0.7% | -25.8% | -0.13 | -0.03 | 0.8x | 14 | 2% |
| Buy and hold | 4.1% | -79.4% | 0.29 | 0.05 | 2.8x | 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 33-day average price crosses above the 261-day average
- Sell — Sell (to cash) when the 33-day average falls below the 261-day average