Trend-Following Backtester · Guide · backtest 한국어
equity · JP
FAST RETAILING CO., LTD. backtest
10 trend-following strategies were compared on the full daily history of FAST RETAILING 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 11.2%, MDD -45.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -85.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -45.6%, Sharpe 0.50, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 40.0%p (CAGR 11.2%, MDD -45.6%, 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=61, slow=190 |
11.2% | -45.6% | 0.50 | 0.24 | 16.6x | 33 | 62% |
| EMA 크로스오버 fast=51, slow=213 |
9.7% | -60.4% | 0.46 | 0.16 | 11.8x | 35 | 65% |
| Donchian 채널 돌파 entryN=113, exitN=23 |
7.3% | -40.3% | 0.46 | 0.18 | 6.6x | 58 | 29% |
| ROC 모멘텀 n=145, threshold=-0.04 |
9.6% | -54.8% | 0.45 | 0.17 | 11.4x | 223 | 68% |
| MACD fast=24, slow=48, signal=28 |
8.9% | -65.4% | 0.45 | 0.14 | 9.7x | 206 | 51% |
| 볼린저 밴드 돌파 n=36, k=2.4 |
6.7% | -43.7% | 0.43 | 0.15 | 5.6x | 100 | 26% |
| Supertrend period=19, mult=4.6 |
6.3% | -73.3% | 0.36 | 0.09 | 5.1x | 118 | 55% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=17, mult=1.2 |
5.2% | -58.6% | 0.33 | 0.09 | 3.8x | 242 | 45% |
| Parabolic SAR step=0.03, maxStep=0.26 |
1.0% | -63.4% | 0.18 | 0.02 | 1.3x | 697 | 50% |
| ADX / DI 방향성 period=16, threshold=35 |
0.3% | -32.0% | 0.09 | 0.01 | 1.1x | 70 | 10% |
| Buy and hold | 12.4% | -85.6% | 0.49 | 0.14 | 22.2x | 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 61-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 61-day average falls below the 190-day average