Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Konica Minolta, Inc. backtest
10 trend-following strategies were compared on the full daily history of Konica Minolta, Inc.. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -23.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.3%, drawdown -88.6%).
Sharpe leader (same as main): MACD — CAGR 5.7%, MDD -57.6%, Sharpe 0.34, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 1.4%, MDD -23.3%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=32, slow=56, signal=20 |
5.7% | -57.6% | 0.34 | 0.10 | 4.4x | 189 | 52% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=25, mult=3.8 |
3.2% | -40.5% | 0.34 | 0.08 | 2.3x | 40 | 8% |
| SMA 크로스오버 fast=25, slow=92 |
5.3% | -56.8% | 0.33 | 0.09 | 3.9x | 73 | 51% |
| EMA 크로스오버 fast=31, slow=47 |
4.8% | -50.1% | 0.31 | 0.10 | 3.5x | 97 | 52% |
| 볼린저 밴드 돌파 n=49, k=2.9 |
3.0% | -31.4% | 0.31 | 0.10 | 2.2x | 25 | 10% |
| Donchian 채널 돌파 entryN=67, exitN=24 |
4.1% | -51.6% | 0.30 | 0.08 | 2.9x | 79 | 30% |
| Supertrend period=19, mult=5 |
2.8% | -61.1% | 0.24 | 0.05 | 2.1x | 101 | 50% |
| ADX / DI 방향성 period=24, threshold=29 |
1.4% | -23.3% | 0.21 | 0.06 | 1.5x | 28 | 4% |
| ROC 모멘텀 n=60, threshold=-0.06 |
1.1% | -67.7% | 0.18 | 0.02 | 1.3x | 293 | 65% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.2% | -74.1% | 0.15 | 0.00 | 1.1x | 205 | 53% |
| Buy and hold | 1.3% | -88.6% | 0.23 | 0.01 | 1.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (32/56) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line