Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Shikoku Electric Power Company, Incorporated backtest
10 trend-following strategies were compared on the full daily history of Shikoku 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 볼린저 밴드 돌파 (CAGR 0.5%, MDD -33.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.3%, drawdown -80.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.4%, MDD -59.0%, Sharpe 0.22, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 21.2%p (CAGR 0.5%, MDD -33.9%, exposure 5%).
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=59, slow=176 |
2.4% | -59.0% | 0.22 | 0.04 | 1.9x | 40 | 51% |
| ADX / DI 방향성 period=41, threshold=18 |
0.7% | -37.2% | 0.12 | 0.02 | 1.2x | 36 | 13% |
| 볼린저 밴드 돌파 n=45, k=3.3 |
0.5% | -33.9% | 0.11 | 0.02 | 1.1x | 19 | 5% |
| Donchian 채널 돌파 entryN=11, exitN=56 |
-0.7% | -76.5% | 0.09 | -0.01 | 0.8x | 101 | 81% |
| EMA 크로스오버 fast=43, slow=141 |
-1.2% | -69.2% | 0.03 | -0.02 | 0.7x | 50 | 52% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=17, mult=2.8 |
-0.5% | -43.2% | 0.02 | -0.01 | 0.9x | 95 | 19% |
| ROC 모멘텀 n=144, threshold=0.02 |
-1.4% | -66.7% | 0.01 | -0.02 | 0.7x | 257 | 46% |
| Supertrend period=28, mult=1.6 |
-2.6% | -79.8% | -0.04 | -0.03 | 0.5x | 429 | 53% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.1% | -81.1% | -0.07 | -0.04 | 0.4x | 207 | 52% |
| MACD fast=12, slow=28, signal=14 |
-4.7% | -81.3% | -0.14 | -0.06 | 0.3x | 399 | 51% |
| Buy and hold | 0.3% | -80.3% | 0.15 | 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 59-day average price crosses above the 176-day average
- Sell — Sell (to cash) when the 59-day average falls below the 176-day average