Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kobe Steel, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kobe Steel, Ltd.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.1%, MDD -22.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.2%, drawdown -94.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -50.7%, Sharpe 0.56, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 4.1%, MDD -22.3%, exposure 5%).
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=59, slow=127 |
12.4% | -50.7% | 0.56 | 0.25 | 22.4x | 50 | 50% |
| Donchian 채널 돌파 entryN=96, exitN=74 |
10.8% | -62.7% | 0.53 | 0.17 | 15.2x | 32 | 46% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=14, mult=3.6 |
7.5% | -45.0% | 0.47 | 0.17 | 6.8x | 64 | 22% |
| ADX / DI 방향성 period=22, threshold=37 |
4.1% | -22.3% | 0.46 | 0.18 | 2.9x | 22 | 5% |
| ROC 모멘텀 n=114, threshold=0.01 |
8.6% | -51.3% | 0.44 | 0.17 | 8.9x | 174 | 50% |
| EMA 크로스오버 fast=53, slow=96 |
8.5% | -64.7% | 0.44 | 0.13 | 8.7x | 50 | 50% |
| 볼린저 밴드 돌파 n=64, k=2.6 |
6.3% | -58.8% | 0.40 | 0.11 | 5.1x | 65 | 27% |
| Supertrend period=22, mult=4.6 |
3.9% | -77.6% | 0.28 | 0.05 | 2.7x | 111 | 50% |
| Parabolic SAR step=0.035, maxStep=0.08 |
3.5% | -76.9% | 0.26 | 0.04 | 2.5x | 463 | 51% |
| MACD fast=17, slow=52, signal=29 |
3.1% | -70.7% | 0.25 | 0.04 | 2.3x | 239 | 52% |
| Buy and hold | 4.2% | -94.2% | 0.31 | 0.04 | 3.0x | 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 59-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 59-day average falls below the 127-day average