Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Chubu Electric Power Company,Incorporated backtest
10 trend-following strategies were compared on the full daily history of Chubu Electric Power Company,Incorporated. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 2.4%, MDD -51.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.9%, drawdown -81.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.6%, MDD -54.6%, Sharpe 0.30, 51% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 27.0%p (CAGR 2.4%, MDD -51.7%, exposure 50%).
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=30, slow=204 |
3.6% | -54.6% | 0.30 | 0.07 | 2.6x | 41 | 51% |
| Donchian 채널 돌파 entryN=50, exitN=56 |
3.0% | -59.3% | 0.25 | 0.05 | 2.2x | 53 | 54% |
| EMA 크로스오버 fast=65, slow=171 |
2.4% | -51.7% | 0.23 | 0.05 | 1.9x | 35 | 50% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
0.4% | -11.9% | 0.12 | 0.04 | 1.1x | 6 | 1% |
| ADX / DI 방향성 period=35, threshold=31 |
0.2% | -13.7% | 0.09 | 0.02 | 1.1x | 6 | 2% |
| ROC 모멘텀 n=137, threshold=0.14 |
-0.4% | -42.2% | 0.04 | -0.01 | 0.9x | 145 | 21% |
| Keltner 채널 돌파 emaPeriod=100, atrPeriod=35, mult=2.9 |
-1.5% | -60.7% | -0.03 | -0.02 | 0.7x | 82 | 35% |
| Supertrend period=16, mult=5 |
-3.0% | -76.5% | -0.09 | -0.04 | 0.4x | 96 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-6.8% | -90.7% | -0.31 | -0.08 | 0.2x | 220 | 52% |
| MACD fast=14, slow=27, signal=18 |
-7.4% | -90.8% | -0.35 | -0.08 | 0.1x | 389 | 51% |
| Buy and hold | 1.9% | -81.6% | 0.20 | 0.02 | 1.6x | 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 30-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 30-day average falls below the 204-day average