Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kotobuki Spirits Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kotobuki Spirits Co., Ltd.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.8%, MDD -39.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 27.5%, drawdown -64.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.8%, MDD -39.9%, Sharpe 0.91, 70% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 24.7%p (CAGR 24.8%, MDD -39.9%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=81, exitN=89 |
24.8% | -39.9% | 0.91 | 0.62 | 38.9x | 15 | 70% |
| EMA 크로스오버 fast=48, slow=140 |
24.4% | -43.3% | 0.89 | 0.56 | 36.7x | 17 | 70% |
| ROC 모멘텀 n=123, threshold=-0.07 |
23.9% | -47.8% | 0.87 | 0.50 | 34.7x | 81 | 76% |
| SMA 크로스오버 fast=56, slow=147 |
22.7% | -49.5% | 0.86 | 0.46 | 29.3x | 23 | 64% |
| Supertrend period=35, mult=2.7 |
19.6% | -43.9% | 0.82 | 0.45 | 19.2x | 133 | 60% |
| 볼린저 밴드 돌파 n=17, k=2.7 |
10.1% | -36.8% | 0.80 | 0.27 | 4.9x | 56 | 17% |
| Parabolic SAR step=0.01, maxStep=0.06 |
18.3% | -35.4% | 0.79 | 0.52 | 16.1x | 165 | 56% |
| MACD fast=15, slow=29, signal=13 |
15.1% | -56.8% | 0.71 | 0.27 | 10.2x | 223 | 52% |
| ADX / DI 방향성 period=7, threshold=30 |
11.0% | -59.2% | 0.62 | 0.19 | 5.6x | 255 | 35% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=11, mult=1.1 |
11.3% | -52.0% | 0.59 | 0.22 | 5.9x | 187 | 46% |
| Buy and hold | 27.5% | -64.5% | 0.86 | 0.43 | 55.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 81 days
- Sell — Sell when price breaks below the lowest low of the last 89 days