Trend-Following Backtester · Guide · backtest 한국어

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Kubota Corporation backtest

10 trend-following strategies were compared on the full daily history of Kubota Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2000-01-04 ~ 2026-07-31daily bars 6,632 (26.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 7.5%, drawdown -75.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.6%, MDD -57.5%, Sharpe 0.31, 48% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 4.7%, MDD -68.1%, exposure 54%.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=54, exitN=35
4.6%-57.5%0.310.083.3x7148%
SMA 크로스오버
fast=41, slow=125
4.7%-68.1%0.310.073.4x5354%
EMA 크로스오버
fast=12, slow=152
4.3%-56.3%0.300.083.1x8153%
ADX / DI 방향성
period=45, threshold=19
2.6%-26.8%0.290.102.0x227%
볼린저 밴드 돌파
n=44, k=3
2.8%-36.9%0.290.082.1x3211%
Keltner 채널 돌파
emaPeriod=40, atrPeriod=26, mult=4
1.9%-43.9%0.200.041.6x5416%
Supertrend
period=11, mult=4.8
0.8%-69.4%0.160.011.2x10953%
ROC 모멘텀
n=101, threshold=0.12
0.7%-54.3%0.130.011.2x25032%
Parabolic SAR
step=0.01, maxStep=0.22
-2.5%-72.2%0.02-0.040.5x35554%
MACD
fast=28, slow=38, signal=21
-3.4%-71.2%-0.01-0.050.4x26155%
Buy and hold7.5%-75.3%0.380.106.9x1100%
1x 2001 2005 2009 2013 2017 2021 2025 SMA 크로스오버Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -19% -38% -56% -75% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSMA 크로스오버Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -57.5% (2013-05-22 → 2025-08-05), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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