Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kyoto Financial Group,Inc. backtest
10 trend-following strategies were compared on the full daily history of Kyoto Financial Group,Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.3%, MDD -43.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.4%, drawdown -67.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -49.7%, Sharpe 0.49, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 8.3%, MDD -43.9%, exposure 54%).
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=33, slow=205 |
8.6% | -49.7% | 0.49 | 0.17 | 8.3x | 35 | 52% |
| EMA 크로스오버 fast=59, slow=186 |
8.3% | -43.9% | 0.47 | 0.19 | 7.7x | 27 | 54% |
| ADX / DI 방향성 period=27, threshold=16 |
5.5% | -33.8% | 0.41 | 0.16 | 4.0x | 124 | 30% |
| ROC 모멘텀 n=178, threshold=0.03 |
6.4% | -47.5% | 0.40 | 0.13 | 4.9x | 159 | 51% |
| Donchian 채널 돌파 entryN=90, exitN=54 |
5.9% | -49.3% | 0.40 | 0.12 | 4.4x | 45 | 47% |
| Supertrend period=7, mult=5 |
4.8% | -59.9% | 0.32 | 0.08 | 3.3x | 83 | 61% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=11, mult=3.8 |
3.5% | -28.9% | 0.31 | 0.12 | 2.4x | 61 | 26% |
| 볼린저 밴드 돌파 n=15, k=2.8 |
0.3% | -30.5% | 0.08 | 0.01 | 1.1x | 36 | 5% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-6.5% | -87.4% | -0.21 | -0.07 | 0.2x | 415 | 52% |
| MACD fast=7, slow=33, signal=13 |
-8.4% | -91.8% | -0.31 | -0.09 | 0.1x | 529 | 51% |
| Buy and hold | 8.4% | -67.0% | 0.42 | 0.12 | 7.8x | 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 33-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 33-day average falls below the 205-day average