Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kawasaki Kisen Kaisha, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kawasaki Kisen Kaisha, Ltd.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.7%, MDD -54.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.3%, drawdown -95.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.7%, MDD -54.3%, Sharpe 0.65, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 16.7%, MDD -54.3%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=37, slow=120 |
16.7% | -54.3% | 0.65 | 0.31 | 60.4x | 45 | 55% |
| SMA 크로스오버 fast=23, slow=165 |
13.8% | -67.0% | 0.57 | 0.21 | 31.3x | 49 | 55% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
7.8% | -46.1% | 0.50 | 0.17 | 7.4x | 42 | 17% |
| Donchian 채널 돌파 entryN=64, exitN=79 |
10.9% | -77.7% | 0.49 | 0.14 | 15.8x | 45 | 57% |
| ROC 모멘텀 n=112, threshold=0.06 |
9.8% | -71.8% | 0.46 | 0.14 | 12.0x | 243 | 46% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=1.4 |
6.7% | -59.7% | 0.37 | 0.11 | 5.5x | 187 | 44% |
| Supertrend period=29, mult=5 |
6.7% | -78.0% | 0.37 | 0.09 | 5.6x | 95 | 50% |
| MACD fast=17, slow=57, signal=8 |
4.5% | -86.7% | 0.30 | 0.05 | 3.2x | 395 | 52% |
| ADX / DI 방향성 period=34, threshold=24 |
3.5% | -42.8% | 0.29 | 0.08 | 2.5x | 30 | 11% |
| Parabolic SAR step=0.015, maxStep=0.12 |
2.7% | -90.8% | 0.24 | 0.03 | 2.0x | 435 | 54% |
| Buy and hold | 11.3% | -95.8% | 0.46 | 0.12 | 17.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 120-day EMA
- Sell — Sell when the 37-day EMA falls below the 120-day EMA