Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Electric Power Development Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Electric Power Development Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.2%, MDD -54.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.5%, drawdown -79.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.2%, MDD -54.3%, Sharpe 0.29, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 4.2%, MDD -54.3%, exposure 52%).
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=33, slow=180 |
4.2% | -54.3% | 0.29 | 0.08 | 2.5x | 41 | 52% |
| EMA 크로스오버 fast=50, slow=170 |
3.4% | -65.8% | 0.26 | 0.05 | 2.1x | 31 | 51% |
| ADX / DI 방향성 period=41, threshold=13 |
2.8% | -39.2% | 0.24 | 0.07 | 1.8x | 74 | 25% |
| Donchian 채널 돌파 entryN=60, exitN=60 |
2.6% | -63.4% | 0.23 | 0.04 | 1.7x | 44 | 54% |
| ROC 모멘텀 n=148, threshold=-0.04 |
1.5% | -74.0% | 0.18 | 0.02 | 1.4x | 187 | 61% |
| 볼린저 밴드 돌파 n=30, k=3.1 |
1.0% | -34.2% | 0.15 | 0.03 | 1.3x | 38 | 10% |
| Supertrend period=6, mult=4.9 |
0.6% | -77.6% | 0.14 | 0.01 | 1.1x | 73 | 52% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=12, mult=3.2 |
-1.6% | -62.5% | -0.05 | -0.03 | 0.7x | 66 | 15% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-4.7% | -82.9% | -0.10 | -0.06 | 0.3x | 359 | 51% |
| MACD fast=17, slow=30, signal=18 |
-4.8% | -87.4% | -0.13 | -0.05 | 0.3x | 267 | 51% |
| Buy and hold | 3.5% | -79.5% | 0.27 | 0.04 | 2.1x | 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 33-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 33-day average falls below the 180-day average