Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsubishi UFJ Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mitsubishi UFJ Financial Group, Inc.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.0%, MDD -33.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.5%, drawdown -83.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.0%, MDD -33.8%, Sharpe 0.62, 49% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 49.6%p (CAGR 11.0%, MDD -33.8%, exposure 49%).
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=35, slow=276 |
11.0% | -33.8% | 0.62 | 0.32 | 8.8x | 15 | 49% |
| Donchian 채널 돌파 entryN=122, exitN=60 |
6.9% | -41.2% | 0.46 | 0.17 | 4.0x | 23 | 38% |
| ROC 모멘텀 n=174, threshold=0.07 |
7.1% | -45.9% | 0.46 | 0.16 | 4.2x | 119 | 44% |
| SMA 크로스오버 fast=12, slow=180 |
6.9% | -56.2% | 0.42 | 0.12 | 4.0x | 41 | 50% |
| 볼린저 밴드 돌파 n=43, k=2.1 |
4.3% | -45.6% | 0.35 | 0.09 | 2.4x | 86 | 31% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=22, mult=2.3 |
4.4% | -38.4% | 0.34 | 0.12 | 2.5x | 100 | 33% |
| Supertrend period=27, mult=5 |
4.7% | -71.1% | 0.32 | 0.07 | 2.6x | 73 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.5% | -66.5% | 0.22 | 0.04 | 1.7x | 158 | 53% |
| MACD fast=13, slow=27, signal=12 |
1.3% | -64.6% | 0.17 | 0.02 | 1.3x | 324 | 49% |
| ADX / DI 방향성 period=29, threshold=27 |
0.7% | -17.6% | 0.15 | 0.04 | 1.2x | 16 | 5% |
| Buy and hold | 4.5% | -83.4% | 0.30 | 0.05 | 2.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 276-day EMA
- Sell — Sell when the 35-day EMA falls below the 276-day EMA