Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsubishi HC Capital Inc. backtest
10 trend-following strategies were compared on the full daily history of Mitsubishi HC Capital Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -77.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -68.8%, Sharpe 0.39, 60% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=84, slow=164 |
7.1% | -68.8% | 0.39 | 0.10 | 5.8x | 47 | 60% |
| Donchian 채널 돌파 entryN=11, exitN=53 |
5.6% | -58.2% | 0.33 | 0.10 | 4.0x | 95 | 84% |
| EMA 크로스오버 fast=72, slow=194 |
4.5% | -68.1% | 0.30 | 0.07 | 3.1x | 35 | 69% |
| Supertrend period=10, mult=4.8 |
2.8% | -67.2% | 0.24 | 0.04 | 2.0x | 101 | 58% |
| 볼린저 밴드 돌파 n=38, k=3.2 |
1.1% | -23.3% | 0.17 | 0.05 | 1.3x | 20 | 7% |
| ROC 모멘텀 n=118, threshold=0.12 |
0.9% | -77.4% | 0.15 | 0.01 | 1.3x | 214 | 35% |
| ADX / DI 방향성 period=11, threshold=22 |
0.1% | -66.4% | 0.11 | 0.00 | 1.0x | 343 | 33% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.2% | -86.4% | 0.05 | -0.03 | 0.6x | 203 | 57% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=10, mult=3.3 |
-0.9% | -63.6% | 0.04 | -0.01 | 0.8x | 91 | 27% |
| MACD fast=15, slow=48, signal=10 |
-2.3% | -82.0% | 0.03 | -0.03 | 0.6x | 387 | 51% |
| Buy and hold | 10.6% | -77.7% | 0.46 | 0.14 | 13.3x | 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 84-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 84-day average falls below the 164-day average