Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsui O.S.K.Lines,Ltd. backtest
10 trend-following strategies were compared on the full daily history of Mitsui O.S.K.Lines,Ltd.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.4%, MDD -53.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.8%, drawdown -92.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.4%, MDD -53.3%, Sharpe 0.54, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 11.4%, MDD -53.3%, exposure 54%).
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=31, slow=171 |
11.4% | -53.3% | 0.54 | 0.21 | 18.0x | 41 | 54% |
| SMA 크로스오버 fast=35, slow=212 |
10.9% | -60.6% | 0.52 | 0.18 | 15.7x | 41 | 54% |
| Donchian 채널 돌파 entryN=164, exitN=28 |
7.6% | -36.6% | 0.48 | 0.21 | 7.1x | 46 | 26% |
| 볼린저 밴드 돌파 n=46, k=2.7 |
6.4% | -47.4% | 0.43 | 0.13 | 5.2x | 63 | 21% |
| Supertrend period=33, mult=5 |
8.3% | -60.1% | 0.43 | 0.14 | 8.3x | 95 | 52% |
| ADX / DI 방향성 period=42, threshold=11 |
6.9% | -48.0% | 0.41 | 0.14 | 5.9x | 183 | 37% |
| ROC 모멘텀 n=70, threshold=0.06 |
6.1% | -58.7% | 0.37 | 0.10 | 4.8x | 327 | 43% |
| MACD fast=11, slow=34, signal=17 |
4.9% | -81.4% | 0.31 | 0.06 | 3.6x | 387 | 52% |
| Parabolic SAR step=0.01, maxStep=0.22 |
4.8% | -87.4% | 0.31 | 0.06 | 3.5x | 350 | 52% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=0.9 |
4.4% | -78.5% | 0.30 | 0.06 | 3.2x | 259 | 47% |
| Buy and hold | 9.8% | -92.3% | 0.44 | 0.11 | 12.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 171-day EMA
- Sell — Sell when the 31-day EMA falls below the 171-day EMA