Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sankyu Inc. backtest
10 trend-following strategies were compared on the full daily history of Sankyu 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 12.0%, drawdown -74.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -67.0%, Sharpe 0.51, 57% 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=17, slow=74 |
10.0% | -67.0% | 0.51 | 0.15 | 11.6x | 96 | 57% |
| EMA 크로스오버 fast=33, slow=49 |
9.5% | -65.7% | 0.49 | 0.14 | 10.3x | 88 | 59% |
| ROC 모멘텀 n=63, threshold=-0.07 |
8.0% | -68.5% | 0.42 | 0.12 | 7.2x | 239 | 76% |
| ADX / DI 방향성 period=36, threshold=12 |
6.5% | -59.6% | 0.40 | 0.11 | 5.0x | 164 | 42% |
| Donchian 채널 돌파 entryN=18, exitN=63 |
7.4% | -69.2% | 0.39 | 0.11 | 6.2x | 76 | 81% |
| Supertrend period=27, mult=5 |
5.9% | -70.3% | 0.35 | 0.08 | 4.3x | 84 | 56% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
5.0% | -53.0% | 0.34 | 0.09 | 3.5x | 112 | 40% |
| Parabolic SAR step=0.005, maxStep=0.38 |
3.5% | -73.8% | 0.26 | 0.05 | 2.4x | 204 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=12, mult=2.9 |
2.4% | -55.4% | 0.22 | 0.04 | 1.9x | 102 | 33% |
| MACD fast=15, slow=48, signal=18 |
0.8% | -79.7% | 0.15 | 0.01 | 1.2x | 314 | 53% |
| Buy and hold | 12.0% | -74.7% | 0.50 | 0.16 | 18.2x | 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 17-day average price crosses above the 74-day average
- Sell — Sell (to cash) when the 17-day average falls below the 74-day average