Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kobayashi Pharmaceutical Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kobayashi Pharmaceutical Co., Ltd.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.5%, MDD -35.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.3%, drawdown -62.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.5%, MDD -35.3%, Sharpe 0.43, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 6.5%, MDD -35.3%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=139, slow=414 |
6.5% | -35.3% | 0.43 | 0.18 | 5.0x | 6 | 57% |
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.15 |
4.2% | -60.9% | 0.29 | 0.07 | 2.9x | 3 | 100% |
| SMA 크로스오버 fast=61, slow=180 |
2.4% | -54.5% | 0.22 | 0.04 | 1.8x | 45 | 58% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=28, mult=3.9 |
0.6% | -24.9% | 0.12 | 0.02 | 1.2x | 28 | 5% |
| Donchian 채널 돌파 entryN=14, exitN=101 |
-1.7% | -68.1% | 0.05 | -0.02 | 0.6x | 67 | 88% |
| 볼린저 밴드 돌파 n=13, k=3.1 |
-0.1% | -15.0% | -0.01 | -0.00 | 1.0x | 12 | 2% |
| Supertrend period=28, mult=2.6 |
-2.1% | -61.0% | -0.02 | -0.03 | 0.6x | 237 | 50% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.3% | -69.9% | -0.09 | -0.05 | 0.4x | 209 | 51% |
| MACD fast=19, slow=25, signal=16 |
-3.3% | -70.1% | -0.09 | -0.05 | 0.4x | 347 | 50% |
| ADX / DI 방향성 period=31, threshold=30 |
-0.6% | -21.3% | -0.12 | -0.03 | 0.9x | 10 | 2% |
| Buy and hold | 4.3% | -62.2% | 0.29 | 0.07 | 2.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 139-day EMA crosses above the 414-day EMA
- Sell — Sell when the 139-day EMA falls below the 414-day EMA