Trend-Following Backtester · Guide · backtest 한국어
equity · JP
CKD Corporation backtest
10 trend-following strategies were compared on the full daily history of CKD Corporation. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.8%, MDD -47.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.4%, drawdown -87.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.5%, MDD -54.9%, Sharpe 0.65, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 15.8%, MDD -47.7%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=31, exitN=54 |
17.5% | -54.9% | 0.65 | 0.32 | 62.4x | 56 | 65% |
| ROC 모멘텀 n=126, threshold=0.06 |
15.4% | -49.1% | 0.62 | 0.31 | 39.1x | 165 | 50% |
| SMA 크로스오버 fast=56, slow=160 |
15.8% | -47.7% | 0.62 | 0.33 | 43.0x | 33 | 55% |
| EMA 크로스오버 fast=49, slow=230 |
13.7% | -54.8% | 0.56 | 0.25 | 26.6x | 25 | 57% |
| 볼린저 밴드 돌파 n=23, k=1.7 |
10.3% | -55.3% | 0.53 | 0.19 | 12.4x | 232 | 38% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=18, mult=1.4 |
9.3% | -67.2% | 0.46 | 0.14 | 9.8x | 164 | 45% |
| Supertrend period=23, mult=5 |
8.8% | -63.4% | 0.44 | 0.14 | 8.6x | 92 | 50% |
| ADX / DI 방향성 period=28, threshold=11 |
5.7% | -58.8% | 0.34 | 0.10 | 4.2x | 284 | 46% |
| MACD fast=14, slow=35, signal=17 |
4.4% | -73.5% | 0.29 | 0.06 | 3.0x | 336 | 53% |
| Parabolic SAR step=0.005, maxStep=0.22 |
3.5% | -70.2% | 0.27 | 0.05 | 2.4x | 216 | 55% |
| Buy and hold | 8.4% | -87.8% | 0.41 | 0.10 | 7.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 31 days
- Sell — Sell when price breaks below the lowest low of the last 54 days