Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kao Corporation backtest
10 trend-following strategies were compared on the full daily history of Kao Corporation. 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 3.5%, drawdown -55.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.6%, MDD -5.2%, Sharpe 0.35, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.3%, MDD -59.4%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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=19, k=3.4 |
0.6% | -5.2% | 0.35 | 0.11 | 1.2x | 4 | 1% |
| ADX / DI 방향성 period=24, threshold=37 |
0.6% | -6.9% | 0.27 | 0.08 | 1.2x | 2 | 1% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
3.3% | -59.4% | 0.26 | 0.06 | 2.4x | 5 | 100% |
| SMA 크로스오버 fast=60, slow=152 |
2.5% | -44.5% | 0.23 | 0.06 | 1.9x | 55 | 52% |
| Donchian 채널 돌파 entryN=199, exitN=79 |
1.7% | -38.3% | 0.20 | 0.04 | 1.6x | 23 | 28% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=25, mult=3.9 |
0.5% | -8.3% | 0.19 | 0.07 | 1.2x | 6 | 1% |
| EMA 크로스오버 fast=59, slow=212 |
-1.6% | -62.6% | -0.00 | -0.03 | 0.7x | 49 | 53% |
| Supertrend period=27, mult=2.7 |
-3.8% | -76.7% | -0.13 | -0.05 | 0.4x | 233 | 53% |
| MACD fast=32, slow=59, signal=20 |
-3.8% | -77.3% | -0.15 | -0.05 | 0.4x | 217 | 50% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-5.4% | -85.3% | -0.23 | -0.06 | 0.2x | 351 | 51% |
| Buy and hold | 3.5% | -55.4% | 0.27 | 0.06 | 2.5x | 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 19-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 19-day middle average