Trend-Following Backtester · Guide · backtest 한국어
equity · JP
KONAMI Group Corporation backtest
10 trend-following strategies were compared on the full daily history of KONAMI Group Corporation. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.6%, MDD -29.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.4%, drawdown -88.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.6%, MDD -29.3%, Sharpe 0.38, 16% exposure.
CAGR reference leader: Supertrend — CAGR 5.2%, MDD -52.9%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 58.8%p (CAGR 4.6%, MDD -29.3%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=18, k=2.6 |
4.6% | -29.3% | 0.38 | 0.16 | 3.3x | 111 | 16% |
| Supertrend period=14, mult=3.6 |
5.2% | -52.9% | 0.33 | 0.10 | 3.8x | 151 | 50% |
| SMA 크로스오버 fast=36, slow=155 |
5.0% | -72.8% | 0.32 | 0.07 | 3.7x | 57 | 52% |
| EMA 크로스오버 fast=50, slow=63 |
4.2% | -64.4% | 0.29 | 0.06 | 3.0x | 63 | 52% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=13, mult=2.6 |
2.9% | -44.8% | 0.25 | 0.06 | 2.1x | 113 | 24% |
| MACD fast=16, slow=52, signal=17 |
2.1% | -54.8% | 0.21 | 0.04 | 1.7x | 303 | 51% |
| Donchian 채널 돌파 entryN=99, exitN=65 |
1.5% | -73.5% | 0.18 | 0.02 | 1.5x | 45 | 44% |
| ROC 모멘텀 n=144, threshold=0.01 |
-0.4% | -85.8% | 0.12 | -0.00 | 0.9x | 223 | 52% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-1.3% | -77.4% | 0.09 | -0.02 | 0.7x | 333 | 50% |
| ADX / DI 방향성 period=12, threshold=24 |
-0.3% | -64.8% | 0.08 | -0.00 | 0.9x | 269 | 25% |
| Buy and hold | 3.4% | -88.1% | 0.29 | 0.04 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 18-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 18-day middle average