Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kuraray Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kuraray Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.2%, drawdown -60.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.5%, MDD -51.1%, Sharpe 0.17, 48% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=207 |
1.5% | -51.1% | 0.17 | 0.03 | 1.5x | 47 | 48% |
| ADX / DI 방향성 period=40, threshold=19 |
0.8% | -21.5% | 0.15 | 0.04 | 1.3x | 24 | 7% |
| EMA 크로스오버 fast=48, slow=259 |
1.0% | -51.7% | 0.15 | 0.02 | 1.3x | 31 | 51% |
| 볼린저 밴드 돌파 n=75, k=3 |
0.8% | -45.4% | 0.13 | 0.02 | 1.2x | 35 | 17% |
| MACD fast=26, slow=53, signal=21 |
0.2% | -63.2% | 0.11 | 0.00 | 1.1x | 215 | 51% |
| Donchian 채널 돌파 entryN=86, exitN=52 |
0.1% | -54.3% | 0.10 | 0.00 | 1.0x | 49 | 42% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=23, mult=3.4 |
0.3% | -19.9% | 0.09 | 0.02 | 1.1x | 18 | 3% |
| Supertrend period=33, mult=4.6 |
-1.6% | -72.6% | 0.03 | -0.02 | 0.7x | 105 | 54% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.9% | -84.5% | -0.13 | -0.06 | 0.3x | 219 | 53% |
| ROC 모멘텀 n=143, threshold=0.01 |
-4.9% | -76.1% | -0.18 | -0.06 | 0.3x | 267 | 48% |
| Buy and hold | 2.2% | -60.5% | 0.22 | 0.04 | 1.8x | 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 45-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 45-day average falls below the 207-day average