Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kumagai Gumi Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kumagai Gumi Co., Ltd.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.3%, MDD -39.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.8%, drawdown -95.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.6%, MDD -44.9%, Sharpe 0.50, 19% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 50.8%p (CAGR 9.3%, MDD -39.9%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=29, mult=2.9 |
10.6% | -44.9% | 0.50 | 0.24 | 14.5x | 76 | 19% |
| 볼린저 밴드 돌파 n=28, k=3.2 |
9.3% | -39.9% | 0.48 | 0.23 | 10.6x | 42 | 11% |
| Donchian 채널 돌파 entryN=61, exitN=7 |
9.1% | -51.5% | 0.47 | 0.18 | 10.1x | 112 | 16% |
| ADX / DI 방향성 period=13, threshold=34 |
7.4% | -44.3% | 0.38 | 0.17 | 6.7x | 106 | 15% |
| SMA 크로스오버 fast=21, slow=82 |
7.6% | -68.8% | 0.38 | 0.11 | 7.1x | 91 | 48% |
| EMA 크로스오버 fast=50, slow=134 |
7.4% | -64.1% | 0.37 | 0.11 | 6.6x | 44 | 49% |
| Supertrend period=22, mult=3.6 |
6.5% | -79.8% | 0.35 | 0.08 | 5.3x | 130 | 45% |
| Parabolic SAR step=0.04, maxStep=0.2 |
3.4% | -72.8% | 0.26 | 0.05 | 2.4x | 704 | 48% |
| ROC 모멘텀 n=143, threshold=0.01 |
2.5% | -79.7% | 0.24 | 0.03 | 1.9x | 204 | 49% |
| MACD fast=16, slow=48, signal=19 |
0.0% | -90.8% | 0.19 | 0.00 | 1.0x | 275 | 51% |
| Buy and hold | -0.8% | -95.7% | 0.24 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 28-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 28-day average