Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Keio Corporation backtest
10 trend-following strategies were compared on the full daily history of Keio 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 3.2%, drawdown -63.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.6%, MDD -60.6%, Sharpe 0.12, 53% 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=55, slow=201 |
0.6% | -60.6% | 0.12 | 0.01 | 1.2x | 50 | 53% |
| Donchian 채널 돌파 entryN=14, exitN=67 |
0.2% | -61.3% | 0.11 | 0.00 | 1.0x | 89 | 81% |
| EMA 크로스오버 fast=75, slow=151 |
0.3% | -57.5% | 0.10 | 0.00 | 1.1x | 42 | 56% |
| ADX / DI 방향성 period=27, threshold=38 |
0.1% | -9.1% | 0.09 | 0.02 | 1.0x | 2 | 0% |
| Supertrend period=22, mult=5 |
0.1% | -51.5% | 0.09 | 0.00 | 1.0x | 91 | 55% |
| 볼린저 밴드 돌파 n=46, k=3.3 |
0.4% | -23.4% | 0.09 | 0.02 | 1.1x | 20 | 7% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=11, mult=4 |
0.1% | -3.7% | 0.09 | 0.02 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=142, threshold=-0.08 |
-0.2% | -53.0% | 0.09 | -0.00 | 0.9x | 135 | 74% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.3% | -72.0% | -0.18 | -0.06 | 0.3x | 222 | 51% |
| MACD fast=19, slow=25, signal=14 |
-5.0% | -76.7% | -0.23 | -0.07 | 0.3x | 377 | 52% |
| Buy and hold | 3.2% | -63.2% | 0.25 | 0.05 | 2.3x | 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 55-day average price crosses above the 201-day average
- Sell — Sell (to cash) when the 55-day average falls below the 201-day average