Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ANA Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of ANA Holdings Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -11.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.3%, drawdown -69.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.7%, MDD -48.7%, Sharpe 0.24, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 20.8%p (CAGR 0.3%, MDD -11.1%, exposure 1%).
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=52, slow=211 |
2.7% | -48.7% | 0.24 | 0.05 | 2.0x | 33 | 49% |
| ADX / DI 방향성 period=28, threshold=39 |
0.3% | -11.1% | 0.18 | 0.03 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=54, slow=89 |
1.1% | -48.4% | 0.15 | 0.02 | 1.4x | 47 | 52% |
| Donchian 채널 돌파 entryN=112, exitN=72 |
1.0% | -56.2% | 0.14 | 0.02 | 1.3x | 36 | 46% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=18, mult=3.5 |
0.3% | -14.1% | 0.10 | 0.02 | 1.1x | 12 | 1% |
| 볼린저 밴드 돌파 n=13, k=2.1 |
-1.2% | -60.5% | -0.03 | -0.02 | 0.7x | 274 | 24% |
| ROC 모멘텀 n=148, threshold=0.02 |
-2.4% | -65.4% | -0.06 | -0.04 | 0.5x | 204 | 46% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-3.7% | -82.8% | -0.11 | -0.04 | 0.4x | 416 | 52% |
| Supertrend period=13, mult=3.3 |
-3.8% | -85.6% | -0.13 | -0.04 | 0.4x | 193 | 49% |
| MACD fast=15, slow=27, signal=18 |
-4.6% | -86.6% | -0.16 | -0.05 | 0.3x | 346 | 50% |
| Buy and hold | 0.3% | -69.5% | 0.14 | 0.00 | 1.1x | 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 52-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 52-day average falls below the 211-day average