Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hikari Tsushin, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hikari Tsushin, Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.4%, MDD -49.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.9%, drawdown -89.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.4%, MDD -49.3%, Sharpe 0.69, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 16.4%, MDD -49.3%, exposure 61%).
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=52, slow=200 |
16.4% | -49.3% | 0.69 | 0.33 | 48.3x | 22 | 61% |
| SMA 크로스오버 fast=51, slow=168 |
15.6% | -66.5% | 0.66 | 0.23 | 40.5x | 32 | 60% |
| ROC 모멘텀 n=141, threshold=-0.02 |
13.6% | -77.9% | 0.60 | 0.18 | 26.3x | 150 | 62% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=23, mult=3.3 |
9.7% | -44.1% | 0.54 | 0.22 | 10.5x | 78 | 36% |
| Parabolic SAR step=0.01, maxStep=0.02 |
10.8% | -63.4% | 0.51 | 0.17 | 13.9x | 135 | 57% |
| Donchian 채널 돌파 entryN=138, exitN=17 |
7.9% | -44.9% | 0.50 | 0.18 | 6.9x | 70 | 28% |
| 볼린저 밴드 돌파 n=67, k=3.3 |
7.1% | -39.6% | 0.49 | 0.18 | 5.8x | 24 | 13% |
| Supertrend period=21, mult=4.8 |
9.7% | -71.2% | 0.48 | 0.14 | 10.7x | 87 | 58% |
| MACD fast=24, slow=58, signal=15 |
6.7% | -57.9% | 0.37 | 0.12 | 5.2x | 239 | 50% |
| ADX / DI 방향성 period=29, threshold=24 |
4.4% | -44.3% | 0.36 | 0.10 | 3.0x | 52 | 13% |
| Buy and hold | 12.9% | -89.0% | 0.50 | 0.15 | 22.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 200-day EMA
- Sell — Sell when the 52-day EMA falls below the 200-day EMA