Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kinden Corporation backtest
10 trend-following strategies were compared on the full daily history of Kinden Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.7%, MDD -42.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.7%, drawdown -63.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.8%, MDD -48.2%, Sharpe 0.55, 50% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 15.2%p (CAGR 9.7%, MDD -42.9%, exposure 54%).
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=75, exitN=69 |
9.8% | -48.2% | 0.55 | 0.20 | 11.0x | 38 | 50% |
| EMA 크로스오버 fast=42, slow=206 |
9.8% | -47.2% | 0.54 | 0.21 | 10.9x | 33 | 55% |
| SMA 크로스오버 fast=42, slow=117 |
9.7% | -42.9% | 0.53 | 0.23 | 10.6x | 52 | 54% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=14, mult=4 |
7.0% | -39.2% | 0.49 | 0.18 | 5.7x | 54 | 31% |
| ADX / DI 방향성 period=46, threshold=15 |
6.5% | -32.2% | 0.49 | 0.20 | 5.0x | 54 | 26% |
| 볼린저 밴드 돌파 n=56, k=3 |
4.6% | -41.9% | 0.39 | 0.11 | 3.2x | 54 | 25% |
| ROC 모멘텀 n=124, threshold=0.13 |
3.2% | -63.7% | 0.27 | 0.05 | 2.3x | 150 | 32% |
| Supertrend period=27, mult=3.8 |
-1.1% | -74.8% | 0.05 | -0.02 | 0.7x | 156 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.6% | -87.7% | -0.11 | -0.05 | 0.3x | 210 | 53% |
| MACD fast=13, slow=25, signal=13 |
-9.7% | -96.3% | -0.37 | -0.10 | 0.1x | 444 | 49% |
| Buy and hold | 9.7% | -63.3% | 0.46 | 0.15 | 10.6x | 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 75 days
- Sell — Sell when price breaks below the lowest low of the last 69 days