Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kyuden Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kyuden Holdings, Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -17.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.9%, drawdown -87.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.1%, MDD -26.8%, Sharpe 0.31, 18% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.2%, MDD -48.1%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 60.3%p (CAGR 0.9%, MDD -17.9%, exposure 2%).
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=104, exitN=17 |
3.1% | -26.8% | 0.31 | 0.12 | 2.2x | 57 | 18% |
| EMA 크로스오버 fast=58, slow=89 |
3.2% | -48.1% | 0.26 | 0.07 | 2.2x | 47 | 48% |
| SMA 크로스오버 fast=38, slow=160 |
2.6% | -57.4% | 0.23 | 0.05 | 1.9x | 45 | 48% |
| ROC 모멘텀 n=81, threshold=0.18 |
2.1% | -34.0% | 0.22 | 0.06 | 1.7x | 76 | 11% |
| 볼린저 밴드 돌파 n=77, k=2.1 |
1.9% | -50.7% | 0.20 | 0.04 | 1.6x | 67 | 27% |
| ADX / DI 방향성 period=24, threshold=37 |
0.9% | -17.9% | 0.17 | 0.05 | 1.3x | 14 | 2% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=20, mult=2.8 |
1.2% | -45.5% | 0.16 | 0.03 | 1.4x | 89 | 25% |
| Supertrend period=27, mult=5 |
-0.2% | -74.4% | 0.09 | -0.00 | 1.0x | 95 | 51% |
| MACD fast=36, slow=82, signal=7 |
-2.4% | -75.6% | -0.03 | -0.03 | 0.5x | 275 | 51% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-5.6% | -87.0% | -0.20 | -0.06 | 0.2x | 541 | 51% |
| Buy and hold | 0.9% | -87.2% | 0.17 | 0.01 | 1.3x | 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 104 days
- Sell — Sell when price breaks below the lowest low of the last 17 days