Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Resona Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Resona Holdings, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -18.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.0%, drawdown -95.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.2%, MDD -38.6%, Sharpe 0.62, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 57.2%p (CAGR 1.4%, MDD -18.3%, exposure 1%).
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=20, slow=360 |
13.2% | -38.6% | 0.62 | 0.34 | 27.2x | 15 | 51% |
| EMA 크로스오버 fast=69, slow=283 |
13.0% | -36.5% | 0.62 | 0.36 | 25.9x | 7 | 51% |
| Donchian 채널 돌파 entryN=105, exitN=161 |
11.6% | -71.8% | 0.55 | 0.16 | 18.5x | 15 | 56% |
| ROC 모멘텀 n=143, threshold=0.01 |
5.7% | -73.1% | 0.35 | 0.08 | 4.4x | 173 | 49% |
| 볼린저 밴드 돌파 n=36, k=2.8 |
4.6% | -49.0% | 0.34 | 0.09 | 3.3x | 70 | 18% |
| ADX / DI 방향성 period=27, threshold=37 |
1.4% | -18.3% | 0.28 | 0.08 | 1.4x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=12, mult=3.9 |
2.1% | -45.7% | 0.25 | 0.05 | 1.7x | 30 | 5% |
| Supertrend period=28, mult=3.3 |
-0.4% | -82.0% | 0.12 | -0.01 | 0.9x | 191 | 46% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.0% | -84.6% | -0.00 | -0.05 | 0.3x | 410 | 50% |
| MACD fast=17, slow=26, signal=19 |
-6.8% | -93.5% | -0.10 | -0.07 | 0.2x | 352 | 51% |
| Buy and hold | -4.0% | -95.8% | 0.11 | -0.04 | 0.3x | 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 20-day average price crosses above the 360-day average
- Sell — Sell (to cash) when the 20-day average falls below the 360-day average