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 7.8%, MDD -43.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.9%, drawdown -67.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -49.7%, Sharpe 0.47, 51% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 7.8%, 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 |
8.1% | -49.7% | 0.47 | 0.16 | 7.4x | 35 | 51% |
| EMA 크로스오버 fast=59, slow=186 |
7.8% | -43.9% | 0.45 | 0.18 | 6.8x | 27 | 54% |
| ADX / DI 방향성 period=27, threshold=16 |
5.6% | -33.8% | 0.41 | 0.16 | 4.0x | 124 | 30% |
| ROC 모멘텀 n=178, threshold=0.03 |
5.9% | -47.5% | 0.38 | 0.12 | 4.4x | 159 | 51% |
| Donchian 채널 돌파 entryN=90, exitN=54 |
5.4% | -49.3% | 0.37 | 0.11 | 3.9x | 45 | 47% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=11, mult=3.8 |
3.6% | -28.9% | 0.31 | 0.12 | 2.5x | 60 | 26% |
| Supertrend period=7, mult=5 |
4.4% | -59.9% | 0.30 | 0.07 | 3.0x | 83 | 60% |
| 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 |
-6.7% | -87.4% | -0.22 | -0.08 | 0.2x | 414 | 52% |
| MACD fast=7, slow=33, signal=13 |
-8.6% | -91.8% | -0.32 | -0.09 | 0.1x | 526 | 51% |
| Buy and hold | 7.9% | -67.0% | 0.40 | 0.12 | 7.0x | 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 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