Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tobu Railway Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Tobu Railway Co., Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.6%, drawdown -53.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.5%, MDD -54.0%, Sharpe 0.23, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
2.5% | -54.0% | 0.23 | 0.05 | 2.0x | 3 | 100% |
| Donchian 채널 돌파 entryN=106, exitN=16 |
1.4% | -33.1% | 0.20 | 0.04 | 1.5x | 68 | 21% |
| SMA 크로스오버 fast=41, slow=219 |
0.7% | -43.9% | 0.12 | 0.02 | 1.2x | 49 | 52% |
| 볼린저 밴드 돌파 n=50, k=2.6 |
0.4% | -25.8% | 0.09 | 0.02 | 1.1x | 66 | 19% |
| EMA 크로스오버 fast=39, slow=183 |
0.2% | -48.5% | 0.09 | 0.00 | 1.1x | 49 | 51% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=26, mult=3.9 |
0.1% | -29.8% | 0.06 | 0.00 | 1.0x | 52 | 15% |
| ADX / DI 방향성 period=26, threshold=30 |
-0.1% | -22.7% | 0.01 | -0.01 | 1.0x | 34 | 6% |
| MACD fast=23, slow=49, signal=24 |
-1.6% | -59.7% | -0.03 | -0.03 | 0.6x | 234 | 54% |
| Supertrend period=15, mult=4.7 |
-1.8% | -69.3% | -0.04 | -0.03 | 0.6x | 106 | 56% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.9% | -65.5% | -0.11 | -0.04 | 0.5x | 208 | 55% |
| Buy and hold | 2.6% | -53.3% | 0.23 | 0.05 | 2.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below