Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kewpie Corporation backtest
10 trend-following strategies were compared on the full daily history of Kewpie Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -48.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.9%, MDD -30.1%, Sharpe 0.25, 11% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.3%, MDD -54.3%, exposure 56%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=44, threshold=16 |
1.9% | -30.1% | 0.25 | 0.06 | 1.6x | 36 | 11% |
| EMA 크로스오버 fast=48, slow=277 |
2.3% | -54.3% | 0.22 | 0.04 | 1.8x | 33 | 56% |
| SMA 크로스오버 fast=50, slow=121 |
1.8% | -57.5% | 0.19 | 0.03 | 1.6x | 65 | 53% |
| Donchian 채널 돌파 entryN=71, exitN=70 |
0.9% | -54.4% | 0.13 | 0.02 | 1.2x | 47 | 53% |
| ROC 모멘텀 n=140, threshold=0.2 |
-0.1% | -50.8% | 0.03 | -0.00 | 1.0x | 82 | 11% |
| Supertrend period=7, mult=4 |
-1.3% | -68.7% | 0.01 | -0.02 | 0.7x | 127 | 54% |
| 볼린저 밴드 돌파 n=51, k=2.3 |
-0.9% | -58.7% | -0.01 | -0.02 | 0.8x | 103 | 28% |
| MACD fast=20, slow=23, signal=18 |
-1.8% | -61.9% | -0.03 | -0.03 | 0.6x | 311 | 51% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=20, mult=4 |
-0.9% | -37.8% | -0.07 | -0.02 | 0.8x | 40 | 8% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.1% | -80.2% | -0.11 | -0.04 | 0.5x | 199 | 52% |
| Buy and hold | 6.3% | -48.4% | 0.39 | 0.13 | 4.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 44-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)