Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TOHO GAS Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of TOHO GAS Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.9%, MDD -41.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -67.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.9%, MDD -41.7%, Sharpe 0.34, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 25.5%p (CAGR 4.9%, MDD -41.7%, exposure 62%).
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=44, slow=207 |
4.9% | -41.7% | 0.34 | 0.12 | 3.4x | 34 | 62% |
| ROC 모멘텀 n=130, threshold=-0.09 |
3.9% | -63.4% | 0.28 | 0.06 | 2.7x | 133 | 79% |
| EMA 크로스오버 fast=36, slow=219 |
3.1% | -56.6% | 0.26 | 0.06 | 2.2x | 41 | 63% |
| Donchian 채널 돌파 entryN=13, exitN=76 |
3.2% | -65.6% | 0.25 | 0.05 | 2.3x | 75 | 84% |
| 볼린저 밴드 돌파 n=30, k=3 |
0.7% | -27.1% | 0.13 | 0.03 | 1.2x | 38 | 9% |
| Supertrend period=8, mult=4.6 |
-0.5% | -71.5% | 0.08 | -0.01 | 0.9x | 100 | 55% |
| ADX / DI 방향성 period=37, threshold=36 |
0.1% | -5.7% | 0.06 | 0.01 | 1.0x | 4 | 0% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.4% | -79.8% | -0.09 | -0.04 | 0.4x | 216 | 53% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=4 |
-1.4% | -46.6% | -0.13 | -0.03 | 0.7x | 32 | 7% |
| MACD fast=19, slow=22, signal=21 |
-5.7% | -82.0% | -0.22 | -0.07 | 0.2x | 327 | 51% |
| Buy and hold | 6.1% | -67.2% | 0.36 | 0.09 | 4.5x | 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 44-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 44-day average falls below the 207-day average