Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Mitsui Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Mitsui Financial Group, Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.2%, MDD -22.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.9%, drawdown -85.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.2%, MDD -22.4%, Sharpe 0.54, 17% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.0%, MDD -68.9%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 63.0%p (CAGR 7.2%, MDD -22.4%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=3.1 |
7.2% | -22.4% | 0.54 | 0.32 | 6.3x | 44 | 17% |
| SMA 크로스오버 fast=30, slow=197 |
9.0% | -68.9% | 0.48 | 0.13 | 10.0x | 45 | 53% |
| EMA 크로스오버 fast=53, slow=210 |
8.5% | -51.5% | 0.47 | 0.16 | 8.7x | 29 | 56% |
| Donchian 채널 돌파 entryN=120, exitN=41 |
6.3% | -40.5% | 0.43 | 0.16 | 5.1x | 45 | 31% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=14, mult=1.9 |
5.8% | -53.4% | 0.38 | 0.11 | 4.4x | 172 | 34% |
| ADX / DI 방향성 period=19, threshold=39 |
2.4% | -21.1% | 0.33 | 0.11 | 1.9x | 22 | 4% |
| ROC 모멘텀 n=67, threshold=0.14 |
4.0% | -41.9% | 0.31 | 0.10 | 2.8x | 217 | 23% |
| Supertrend period=24, mult=4 |
4.4% | -82.7% | 0.30 | 0.05 | 3.2x | 143 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.5% | -89.9% | -0.03 | -0.04 | 0.4x | 223 | 52% |
| MACD fast=16, slow=49, signal=19 |
-4.1% | -88.3% | -0.04 | -0.05 | 0.3x | 316 | 51% |
| Buy and hold | 4.9% | -85.3% | 0.32 | 0.06 | 3.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 47-day middle average