Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sompo Holdings,Inc. backtest
10 trend-following strategies were compared on the full daily history of Sompo Holdings,Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.3%, MDD -30.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -52.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.3%, MDD -30.3%, Sharpe 0.63, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 22.2%p (CAGR 13.3%, MDD -30.3%, exposure 67%).
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=37, slow=104 |
13.3% | -30.3% | 0.63 | 0.44 | 7.6x | 23 | 67% |
| SMA 크로스오버 fast=22, slow=176 |
13.1% | -35.1% | 0.63 | 0.37 | 7.4x | 21 | 66% |
| ROC 모멘텀 n=163, threshold=-0.04 |
10.6% | -44.5% | 0.53 | 0.24 | 5.1x | 79 | 71% |
| Donchian 채널 돌파 entryN=40, exitN=76 |
7.1% | -38.7% | 0.40 | 0.18 | 3.0x | 31 | 74% |
| 볼린저 밴드 돌파 n=15, k=3 |
1.3% | -10.4% | 0.34 | 0.12 | 1.2x | 6 | 2% |
| Supertrend period=25, mult=4.6 |
1.6% | -43.4% | 0.19 | 0.04 | 1.3x | 67 | 65% |
| ADX / DI 방향성 period=36, threshold=26 |
0.7% | -12.8% | 0.16 | 0.06 | 1.1x | 4 | 3% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=3.6 |
-0.4% | -43.5% | 0.05 | -0.01 | 0.9x | 51 | 26% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-1.7% | -56.8% | 0.02 | -0.03 | 0.8x | 269 | 54% |
| MACD fast=24, slow=27, signal=19 |
-3.9% | -65.0% | -0.10 | -0.06 | 0.5x | 197 | 51% |
| Buy and hold | 13.3% | -52.4% | 0.56 | 0.25 | 7.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 104-day EMA
- Sell — Sell when the 37-day EMA falls below the 104-day EMA