Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kandenko Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kandenko Co., Ltd.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.9%, drawdown -68.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.0%, MDD -58.0%, Sharpe 0.50, 54% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=35, slow=289 |
9.0% | -58.0% | 0.50 | 0.16 | 9.1x | 27 | 54% |
| ADX / DI 방향성 period=39, threshold=24 |
3.4% | -17.8% | 0.47 | 0.19 | 2.4x | 12 | 6% |
| Donchian 채널 돌파 entryN=79, exitN=53 |
7.8% | -57.9% | 0.46 | 0.14 | 6.9x | 40 | 53% |
| SMA 크로스오버 fast=59, slow=189 |
7.2% | -72.7% | 0.41 | 0.10 | 5.9x | 41 | 56% |
| ROC 모멘텀 n=195, threshold=0.02 |
6.3% | -55.4% | 0.38 | 0.11 | 4.7x | 153 | 53% |
| Supertrend period=8, mult=4.9 |
2.2% | -82.0% | 0.21 | 0.03 | 1.7x | 86 | 60% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
0.6% | -65.7% | 0.12 | 0.01 | 1.2x | 116 | 36% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=8, mult=2.9 |
0.4% | -60.2% | 0.10 | 0.01 | 1.1x | 94 | 28% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-4.4% | -87.0% | -0.09 | -0.05 | 0.3x | 342 | 53% |
| MACD fast=14, slow=45, signal=17 |
-6.6% | -89.6% | -0.23 | -0.07 | 0.2x | 340 | 49% |
| Buy and hold | 8.9% | -68.3% | 0.43 | 0.13 | 8.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 289-day EMA
- Sell — Sell when the 35-day EMA falls below the 289-day EMA