Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Capcom Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Capcom 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 8.8%, MDD -50.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.5%, drawdown -79.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -50.3%, Sharpe 0.44, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 8.8%, MDD -50.3%, exposure 56%).
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=14, slow=133 |
8.8% | -50.3% | 0.44 | 0.17 | 8.6x | 73 | 56% |
| EMA 크로스오버 fast=56, slow=199 |
7.3% | -52.4% | 0.39 | 0.14 | 6.1x | 34 | 57% |
| Donchian 채널 돌파 entryN=77, exitN=71 |
5.2% | -63.8% | 0.32 | 0.08 | 3.7x | 39 | 55% |
| ROC 모멘텀 n=133, threshold=-0.04 |
2.4% | -73.2% | 0.23 | 0.03 | 1.8x | 205 | 63% |
| Supertrend period=29, mult=3.2 |
1.3% | -79.0% | 0.18 | 0.02 | 1.4x | 193 | 54% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
0.7% | -30.5% | 0.14 | 0.02 | 1.2x | 29 | 5% |
| ADX / DI 방향성 period=33, threshold=23 |
0.8% | -37.5% | 0.13 | 0.02 | 1.2x | 18 | 6% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=16, mult=0.7 |
-1.2% | -82.7% | 0.08 | -0.01 | 0.7x | 263 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.2% | -89.0% | -0.02 | -0.05 | 0.3x | 213 | 53% |
| MACD fast=18, slow=59, signal=10 |
-6.1% | -88.4% | -0.10 | -0.07 | 0.2x | 371 | 52% |
| Buy and hold | 8.5% | -79.7% | 0.41 | 0.11 | 8.0x | 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 14-day average price crosses above the 133-day average
- Sell — Sell (to cash) when the 14-day average falls below the 133-day average