Trend-Following Backtester · Guide · backtest 한국어
equity · JP
KUSURI NO AOKI HOLDINGS CO.,LTD. backtest
10 trend-following strategies were compared on the full daily history of KUSURI NO AOKI HOLDINGS CO.,LTD.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.3%, MDD -45.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.8%, drawdown -72.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -45.0%, Sharpe 0.71, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 27.1%p (CAGR 16.3%, MDD -45.0%, exposure 56%).
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=54, slow=122 |
16.3% | -45.0% | 0.71 | 0.36 | 22.1x | 47 | 56% |
| ADX / DI 방향성 period=45, threshold=22 |
8.6% | -31.3% | 0.70 | 0.27 | 5.4x | 12 | 10% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
11.3% | -30.1% | 0.68 | 0.38 | 9.0x | 41 | 23% |
| EMA 크로스오버 fast=63, slow=195 |
15.9% | -48.9% | 0.68 | 0.33 | 20.8x | 17 | 60% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=20, mult=3.1 |
12.0% | -41.2% | 0.66 | 0.29 | 10.3x | 67 | 32% |
| Donchian 채널 돌파 entryN=86, exitN=67 |
13.7% | -57.9% | 0.64 | 0.24 | 14.0x | 31 | 48% |
| ROC 모멘텀 n=129, threshold=0.14 |
11.5% | -65.1% | 0.62 | 0.18 | 9.4x | 98 | 35% |
| Supertrend period=21, mult=2.9 |
12.1% | -63.9% | 0.59 | 0.19 | 10.4x | 165 | 53% |
| Parabolic SAR step=0.02, maxStep=0.16 |
7.8% | -71.8% | 0.44 | 0.11 | 4.6x | 381 | 51% |
| MACD fast=14, slow=57, signal=18 |
3.6% | -75.8% | 0.27 | 0.05 | 2.1x | 237 | 52% |
| Buy and hold | 18.8% | -72.1% | 0.68 | 0.26 | 34.6x | 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 54-day average price crosses above the 122-day average
- Sell — Sell (to cash) when the 54-day average falls below the 122-day average