Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Keisei Electric Railway Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Keisei Electric Railway Co., Ltd.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.8%, drawdown -58.7%).
Sharpe leader (same as main): Supertrend — CAGR 5.6%, MDD -43.4%, Sharpe 0.37, 58% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=4 |
5.6% | -43.4% | 0.37 | 0.13 | 4.3x | 117 | 58% |
| Donchian 채널 돌파 entryN=10, exitN=22 |
5.4% | -50.4% | 0.35 | 0.11 | 4.1x | 185 | 68% |
| SMA 크로스오버 fast=54, slow=155 |
4.4% | -52.4% | 0.31 | 0.08 | 3.1x | 44 | 57% |
| ROC 모멘텀 n=178, threshold=0.15 |
3.5% | -50.0% | 0.30 | 0.07 | 2.5x | 150 | 32% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=14, mult=3.7 |
2.4% | -30.6% | 0.28 | 0.08 | 1.9x | 57 | 15% |
| MACD fast=19, slow=55, signal=19 |
3.6% | -53.5% | 0.28 | 0.07 | 2.6x | 261 | 51% |
| EMA 크로스오버 fast=29, slow=218 |
3.5% | -64.1% | 0.27 | 0.05 | 2.5x | 48 | 57% |
| ADX / DI 방향성 period=33, threshold=19 |
2.4% | -34.8% | 0.26 | 0.07 | 1.9x | 55 | 16% |
| Parabolic SAR step=0.01, maxStep=0.1 |
2.4% | -40.5% | 0.22 | 0.06 | 1.9x | 327 | 52% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
1.3% | -40.1% | 0.18 | 0.03 | 1.4x | 40 | 14% |
| Buy and hold | 7.8% | -58.7% | 0.41 | 0.13 | 7.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)