Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kyoritsu Maintenance Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kyoritsu Maintenance Co., Ltd.. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.3%, MDD -45.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.5%, drawdown -77.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -45.8%, Sharpe 0.63, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 31.4%p (CAGR 13.3%, MDD -45.8%, exposure 49%).
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=35, exitN=23 |
13.3% | -45.8% | 0.63 | 0.29 | 24.5x | 91 | 49% |
| ADX / DI 방향성 period=27, threshold=21 |
10.5% | -43.2% | 0.62 | 0.24 | 12.9x | 73 | 20% |
| 볼린저 밴드 돌파 n=48, k=1.5 |
10.0% | -54.7% | 0.54 | 0.18 | 11.5x | 125 | 38% |
| EMA 크로스오버 fast=48, slow=218 |
9.5% | -62.5% | 0.47 | 0.15 | 10.2x | 35 | 53% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=26, mult=1.7 |
8.5% | -60.3% | 0.47 | 0.14 | 8.1x | 145 | 41% |
| SMA 크로스오버 fast=49, slow=122 |
8.9% | -64.5% | 0.46 | 0.14 | 8.9x | 55 | 51% |
| ROC 모멘텀 n=119, threshold=0.12 |
6.8% | -62.0% | 0.41 | 0.11 | 5.4x | 195 | 32% |
| MACD fast=13, slow=47, signal=18 |
6.9% | -76.8% | 0.40 | 0.09 | 5.5x | 301 | 50% |
| Supertrend period=9, mult=2.5 |
4.2% | -76.9% | 0.29 | 0.05 | 2.8x | 251 | 52% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-1.7% | -77.8% | 0.06 | -0.02 | 0.7x | 423 | 53% |
| Buy and hold | 11.5% | -77.3% | 0.49 | 0.15 | 16.3x | 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 35 days
- Sell — Sell when price breaks below the lowest low of the last 23 days