Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yamaguchi Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Yamaguchi Financial Group, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.8%, MDD -54.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.3%, drawdown -75.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.8%, MDD -54.2%, Sharpe 0.42, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 6.8%, MDD -54.2%, exposure 56%).
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=49, slow=276 |
6.8% | -54.2% | 0.42 | 0.12 | 5.4x | 19 | 56% |
| 볼린저 밴드 돌파 n=18, k=3.4 |
1.4% | -10.4% | 0.36 | 0.14 | 1.4x | 10 | 2% |
| SMA 크로스오버 fast=56, slow=192 |
4.0% | -72.0% | 0.29 | 0.06 | 2.7x | 43 | 54% |
| ROC 모멘텀 n=174, threshold=0 |
3.5% | -60.1% | 0.27 | 0.06 | 2.4x | 213 | 56% |
| Donchian 채널 돌파 entryN=15, exitN=46 |
3.5% | -59.3% | 0.26 | 0.06 | 2.4x | 97 | 75% |
| ADX / DI 방향성 period=25, threshold=34 |
1.1% | -14.9% | 0.26 | 0.08 | 1.3x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=26, mult=4 |
0.5% | -10.5% | 0.19 | 0.05 | 1.1x | 6 | 1% |
| Supertrend period=20, mult=4 |
-0.4% | -73.0% | 0.09 | -0.01 | 0.9x | 129 | 57% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-7.4% | -89.2% | -0.28 | -0.08 | 0.1x | 607 | 52% |
| MACD fast=14, slow=28, signal=12 |
-7.6% | -90.0% | -0.28 | -0.08 | 0.1x | 433 | 51% |
| Buy and hold | 6.3% | -75.3% | 0.36 | 0.08 | 4.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 49-day EMA crosses above the 276-day EMA
- Sell — Sell when the 49-day EMA falls below the 276-day EMA