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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.3%, drawdown -63.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.3%, MDD -61.3%, Sharpe 0.12, 81% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.6%, MDD -60.6%, exposure 54%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=67 |
0.3% | -61.3% | 0.12 | 0.00 | 1.1x | 89 | 81% |
| SMA 크로스오버 fast=55, slow=201 |
0.6% | -60.6% | 0.12 | 0.01 | 1.2x | 50 | 54% |
| EMA 크로스오버 fast=75, slow=151 |
0.3% | -57.5% | 0.10 | 0.00 | 1.1x | 42 | 56% |
| ROC 모멘텀 n=142, threshold=-0.08 |
0.0% | -52.7% | 0.10 | 0.00 | 1.0x | 133 | 74% |
| Supertrend period=22, mult=5 |
0.2% | -50.3% | 0.10 | 0.00 | 1.0x | 91 | 54% |
| ADX / DI 방향성 period=27, threshold=38 |
0.1% | -9.1% | 0.09 | 0.02 | 1.0x | 2 | 0% |
| 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% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.0% | -72.0% | -0.17 | -0.06 | 0.3x | 221 | 51% |
| MACD fast=19, slow=25, signal=14 |
-4.8% | -76.7% | -0.22 | -0.06 | 0.3x | 375 | 52% |
| Buy and hold | 3.3% | -63.2% | 0.26 | 0.05 | 2.4x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 67 days