Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kurita Water Industries Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kurita Water Industries Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -39.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.8%, drawdown -62.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -39.7%, Sharpe 0.42, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 7.3%, MDD -39.7%, exposure 56%).
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=44, slow=166 |
7.3% | -39.7% | 0.42 | 0.18 | 6.1x | 39 | 56% |
| EMA 크로스오버 fast=45, slow=160 |
4.5% | -41.9% | 0.31 | 0.11 | 3.1x | 37 | 57% |
| Donchian 채널 돌파 entryN=77, exitN=75 |
3.7% | -39.8% | 0.28 | 0.09 | 2.5x | 39 | 51% |
| ROC 모멘텀 n=296, threshold=-0.07 |
3.6% | -56.5% | 0.27 | 0.06 | 2.5x | 101 | 67% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=27, mult=3.7 |
1.0% | -27.8% | 0.15 | 0.04 | 1.3x | 40 | 8% |
| Supertrend period=11, mult=5 |
-1.9% | -68.2% | 0.03 | -0.03 | 0.6x | 100 | 58% |
| 볼린저 밴드 돌파 n=49, k=1.9 |
-1.2% | -64.1% | 0.01 | -0.02 | 0.7x | 122 | 35% |
| ADX / DI 방향성 period=29, threshold=33 |
-0.0% | -5.2% | 0.01 | -0.00 | 1.0x | 2 | 0% |
| MACD fast=15, slow=47, signal=19 |
-3.7% | -85.9% | -0.07 | -0.04 | 0.4x | 312 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.8% | -83.5% | -0.12 | -0.06 | 0.3x | 212 | 51% |
| Buy and hold | 6.8% | -62.7% | 0.37 | 0.11 | 5.4x | 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 44-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 44-day average falls below the 166-day average