Trend-Following Backtester · Guide · backtest 한국어
equity · JP
KOSE Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of KOSE Holdings Corporation. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.5%, MDD -12.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.0%, drawdown -81.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.5%, MDD -12.1%, Sharpe 0.54, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.2%, MDD -53.0%, exposure 28%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 68.9%p (CAGR 3.5%, MDD -12.1%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=29, threshold=33 |
3.5% | -12.1% | 0.54 | 0.29 | 2.4x | 10 | 4% |
| Donchian 채널 돌파 entryN=118, exitN=38 |
4.2% | -53.0% | 0.32 | 0.08 | 2.8x | 38 | 28% |
| SMA 크로스오버 fast=53, slow=156 |
3.3% | -62.1% | 0.26 | 0.05 | 2.3x | 42 | 47% |
| EMA 크로스오버 fast=72, slow=220 |
2.4% | -61.8% | 0.22 | 0.04 | 1.8x | 28 | 42% |
| ROC 모멘텀 n=136, threshold=0.18 |
1.5% | -56.9% | 0.17 | 0.03 | 1.5x | 126 | 21% |
| 볼린저 밴드 돌파 n=21, k=2.9 |
0.9% | -41.5% | 0.15 | 0.02 | 1.3x | 52 | 9% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=27, mult=2.9 |
1.0% | -64.1% | 0.15 | 0.02 | 1.3x | 87 | 24% |
| Supertrend period=15, mult=3.2 |
-5.1% | -91.6% | -0.11 | -0.06 | 0.3x | 197 | 51% |
| MACD fast=12, slow=48, signal=14 |
-5.8% | -83.9% | -0.15 | -0.07 | 0.2x | 351 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-8.3% | -91.7% | -0.25 | -0.09 | 0.1x | 201 | 52% |
| Buy and hold | 3.0% | -81.0% | 0.26 | 0.04 | 2.1x | 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, 29-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)