Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hachijuni Nagano Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hachijuni Nagano Bank, Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.9%, MDD -55.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.8%, drawdown -70.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -57.5%, Sharpe 0.41, 51% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 12.5%p (CAGR 5.9%, MDD -55.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=204 |
6.5% | -57.5% | 0.41 | 0.11 | 5.0x | 55 | 51% |
| Donchian 채널 돌파 entryN=158, exitN=29 |
4.9% | -39.8% | 0.40 | 0.12 | 3.4x | 41 | 24% |
| EMA 크로스오버 fast=51, slow=200 |
5.9% | -55.4% | 0.38 | 0.11 | 4.3x | 33 | 49% |
| ROC 모멘텀 n=145, threshold=0.14 |
4.5% | -38.5% | 0.34 | 0.12 | 3.1x | 141 | 30% |
| 볼린저 밴드 돌파 n=59, k=2.5 |
3.7% | -36.9% | 0.32 | 0.10 | 2.5x | 57 | 23% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=2.9 |
1.5% | -50.9% | 0.18 | 0.03 | 1.5x | 85 | 29% |
| ADX / DI 방향성 period=29, threshold=36 |
0.4% | -12.0% | 0.15 | 0.03 | 1.1x | 2 | 1% |
| Supertrend period=24, mult=4.4 |
-0.6% | -70.7% | 0.09 | -0.01 | 0.9x | 105 | 57% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.0% | -80.3% | -0.09 | -0.05 | 0.4x | 221 | 52% |
| MACD fast=17, slow=34, signal=12 |
-9.2% | -95.2% | -0.35 | -0.10 | 0.1x | 396 | 51% |
| Buy and hold | 5.8% | -70.0% | 0.34 | 0.08 | 4.3x | 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 204-day average
- Sell — Sell (to cash) when the 20-day average falls below the 204-day average