Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tokyo Kiraboshi Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Tokyo Kiraboshi Financial Group, Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.4%, MDD -30.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.1%, drawdown -80.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.1%, MDD -43.4%, Sharpe 0.78, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 37.1%p (CAGR 12.4%, MDD -30.7%, exposure 41%).
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=32, slow=221 |
19.1% | -43.4% | 0.78 | 0.44 | 8.1x | 17 | 53% |
| EMA 크로스오버 fast=32, slow=241 |
17.9% | -47.3% | 0.75 | 0.38 | 7.1x | 9 | 52% |
| Donchian 채널 돌파 entryN=133, exitN=77 |
16.5% | -36.7% | 0.73 | 0.45 | 6.2x | 11 | 47% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=28, mult=2.4 |
12.4% | -30.7% | 0.63 | 0.40 | 4.0x | 35 | 41% |
| ROC 모멘텀 n=146, threshold=-0.04 |
14.2% | -64.7% | 0.61 | 0.22 | 4.9x | 63 | 62% |
| Supertrend period=12, mult=4 |
12.6% | -55.3% | 0.57 | 0.23 | 4.1x | 53 | 63% |
| 볼린저 밴드 돌파 n=44, k=1.5 |
7.7% | -44.8% | 0.45 | 0.17 | 2.4x | 66 | 39% |
| MACD fast=6, slow=48, signal=24 |
6.5% | -60.0% | 0.38 | 0.11 | 2.1x | 166 | 50% |
| ADX / DI 방향성 period=36, threshold=23 |
2.7% | -19.2% | 0.29 | 0.14 | 1.4x | 14 | 10% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.8% | -55.4% | 0.28 | 0.07 | 1.6x | 98 | 52% |
| Buy and hold | 12.1% | -80.5% | 0.50 | 0.15 | 3.9x | 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 32-day average price crosses above the 221-day average
- Sell — Sell (to cash) when the 32-day average falls below the 221-day average