Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Komatsu Ltd. backtest
10 trend-following strategies were compared on the full daily history of Komatsu Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.2%, MDD -48.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.5%, drawdown -80.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -48.9%, Sharpe 0.54, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 11.2%, MDD -48.9%, exposure 59%).
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=57, slow=107 |
11.2% | -48.9% | 0.54 | 0.23 | 16.8x | 72 | 59% |
| Donchian 채널 돌파 entryN=40, exitN=66 |
10.8% | -54.7% | 0.51 | 0.20 | 15.3x | 47 | 68% |
| EMA 크로스오버 fast=59, slow=89 |
9.2% | -50.0% | 0.48 | 0.18 | 10.4x | 45 | 58% |
| 볼린저 밴드 돌파 n=39, k=3.3 |
3.5% | -18.9% | 0.43 | 0.19 | 2.5x | 17 | 6% |
| ADX / DI 방향성 period=39, threshold=33 |
1.2% | -12.4% | 0.29 | 0.10 | 1.4x | 6 | 2% |
| ROC 모멘텀 n=119, threshold=-0.02 |
4.2% | -59.2% | 0.29 | 0.07 | 3.0x | 231 | 63% |
| Supertrend period=19, mult=4.8 |
4.0% | -57.3% | 0.28 | 0.07 | 2.8x | 115 | 55% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=13, mult=4 |
2.2% | -43.2% | 0.22 | 0.05 | 1.8x | 76 | 22% |
| MACD fast=18, slow=40, signal=19 |
1.1% | -57.0% | 0.17 | 0.02 | 1.3x | 301 | 54% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-1.5% | -72.8% | 0.06 | -0.02 | 0.7x | 491 | 55% |
| Buy and hold | 10.5% | -80.4% | 0.46 | 0.13 | 14.3x | 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 57-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 57-day average falls below the 107-day average