Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kubota Corporation backtest
10 trend-following strategies were compared on the full daily history of Kubota Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -75.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -68.1%, Sharpe 0.31, 54% exposure.
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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=41, slow=125 |
4.8% | -68.1% | 0.31 | 0.07 | 3.5x | 55 | 54% |
| EMA 크로스오버 fast=12, slow=152 |
4.6% | -56.3% | 0.31 | 0.08 | 3.3x | 81 | 53% |
| Donchian 채널 돌파 entryN=54, exitN=35 |
4.4% | -57.5% | 0.30 | 0.08 | 3.1x | 72 | 48% |
| ADX / DI 방향성 period=45, threshold=19 |
2.6% | -26.8% | 0.29 | 0.10 | 2.0x | 22 | 7% |
| 볼린저 밴드 돌파 n=44, k=3 |
2.8% | -36.9% | 0.29 | 0.08 | 2.1x | 32 | 11% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=26, mult=4 |
1.9% | -43.9% | 0.20 | 0.04 | 1.6x | 54 | 16% |
| Supertrend period=11, mult=4.8 |
1.0% | -69.4% | 0.17 | 0.01 | 1.3x | 109 | 54% |
| ROC 모멘텀 n=101, threshold=0.12 |
0.7% | -54.3% | 0.13 | 0.01 | 1.2x | 252 | 32% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-2.4% | -72.2% | 0.03 | -0.03 | 0.5x | 357 | 54% |
| MACD fast=28, slow=38, signal=21 |
-3.3% | -71.3% | -0.01 | -0.05 | 0.4x | 263 | 54% |
| Buy and hold | 7.8% | -75.3% | 0.39 | 0.10 | 7.4x | 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 41-day average price crosses above the 125-day average
- Sell — Sell (to cash) when the 41-day average falls below the 125-day average