Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Toho Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Toho Co., Ltd.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -66.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.3%, MDD -64.8%, Sharpe 0.36, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.1 |
6.3% | -64.8% | 0.36 | 0.10 | 5.1x | 21 | 100% |
| 볼린저 밴드 돌파 n=19, k=3.3 |
1.6% | -14.9% | 0.33 | 0.11 | 1.5x | 20 | 4% |
| ADX / DI 방향성 period=26, threshold=36 |
1.3% | -12.4% | 0.31 | 0.11 | 1.4x | 14 | 2% |
| Donchian 채널 돌파 entryN=6, exitN=55 |
2.1% | -76.6% | 0.21 | 0.03 | 1.7x | 139 | 84% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=12, mult=1.7 |
1.3% | -47.6% | 0.16 | 0.03 | 1.4x | 169 | 38% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.3% | -66.8% | 0.16 | 0.02 | 1.4x | 211 | 52% |
| SMA 크로스오버 fast=23, slow=165 |
1.2% | -65.8% | 0.16 | 0.02 | 1.4x | 65 | 56% |
| Supertrend period=22, mult=4 |
0.8% | -65.0% | 0.14 | 0.01 | 1.2x | 137 | 51% |
| EMA 크로스오버 fast=54, slow=186 |
0.6% | -71.0% | 0.13 | 0.01 | 1.2x | 44 | 57% |
| MACD fast=17, slow=41, signal=14 |
-1.2% | -66.2% | 0.03 | -0.02 | 0.7x | 351 | 52% |
| Buy and hold | 6.5% | -66.3% | 0.37 | 0.10 | 5.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 2-day return is greater than -10%
- Sell — Sell when the 2-day return drops to -10% or below