Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kirin Holdings Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kirin Holdings Co. Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.0%, drawdown -56.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -21.9%, Sharpe 0.29, 7% exposure.
CAGR reference leader: Supertrend — CAGR 3.2%, MDD -48.1%, exposure 51%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=44, k=3.4 |
1.7% | -21.9% | 0.29 | 0.08 | 1.6x | 18 | 7% |
| Supertrend period=6, mult=4.9 |
3.2% | -48.1% | 0.27 | 0.07 | 2.3x | 93 | 51% |
| Donchian 채널 돌파 entryN=83, exitN=51 |
2.9% | -58.2% | 0.26 | 0.05 | 2.1x | 47 | 44% |
| ADX / DI 방향성 period=25, threshold=39 |
0.6% | -7.3% | 0.26 | 0.08 | 1.2x | 2 | 0% |
| SMA 크로스오버 fast=16, slow=111 |
1.6% | -57.1% | 0.18 | 0.03 | 1.5x | 83 | 51% |
| EMA 크로스오버 fast=46, slow=51 |
1.5% | -55.6% | 0.17 | 0.03 | 1.5x | 81 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.3% | -49.8% | 0.16 | 0.03 | 1.4x | 211 | 52% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=10, mult=2.1 |
0.4% | -48.1% | 0.10 | 0.01 | 1.1x | 135 | 34% |
| ROC 모멘텀 n=146, threshold=0.1 |
-0.8% | -47.9% | 0.00 | -0.02 | 0.8x | 171 | 28% |
| MACD fast=21, slow=42, signal=21 |
-1.5% | -54.5% | -0.01 | -0.03 | 0.7x | 261 | 51% |
| Buy and hold | 4.0% | -56.1% | 0.28 | 0.07 | 2.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 44-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 44-day middle average