Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kajima Corporation backtest
10 trend-following strategies were compared on the full daily history of Kajima Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.9%, MDD -50.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -79.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -50.3%, Sharpe 0.43, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 29.3%p (CAGR 7.9%, MDD -50.3%, exposure 61%).
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=46, slow=251 |
7.9% | -50.3% | 0.43 | 0.16 | 7.6x | 27 | 61% |
| SMA 크로스오버 fast=48, slow=59 |
6.9% | -53.5% | 0.39 | 0.13 | 5.9x | 146 | 55% |
| ADX / DI 방향성 period=30, threshold=26 |
3.2% | -24.4% | 0.39 | 0.13 | 2.3x | 30 | 9% |
| Donchian 채널 돌파 entryN=60, exitN=77 |
5.5% | -58.2% | 0.34 | 0.09 | 4.1x | 48 | 64% |
| 볼린저 밴드 돌파 n=44, k=3.1 |
3.1% | -30.4% | 0.31 | 0.10 | 2.2x | 38 | 14% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=22, mult=3.9 |
3.5% | -47.2% | 0.30 | 0.07 | 2.5x | 64 | 20% |
| ROC 모멘텀 n=197, threshold=-0.03 |
3.0% | -76.4% | 0.25 | 0.04 | 2.2x | 169 | 65% |
| Supertrend period=24, mult=5 |
1.8% | -65.5% | 0.20 | 0.03 | 1.6x | 94 | 56% |
| MACD fast=18, slow=26, signal=15 |
-0.7% | -81.2% | 0.09 | -0.01 | 0.8x | 350 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.2% | -77.5% | 0.03 | -0.03 | 0.6x | 218 | 52% |
| Buy and hold | 8.6% | -79.5% | 0.41 | 0.11 | 9.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 251-day EMA
- Sell — Sell when the 46-day EMA falls below the 251-day EMA