Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kakaku.com, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kakaku.com, Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.0%, drawdown -65.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.8%, MDD -15.1%, Sharpe 0.59, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.4%, MDD -42.8%, exposure 58%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=20, k=3.4 |
4.8% | -15.1% | 0.59 | 0.32 | 2.6x | 19 | 5% |
| SMA 크로스오버 fast=37, slow=218 |
8.4% | -42.8% | 0.42 | 0.20 | 5.4x | 29 | 58% |
| ADX / DI 방향성 period=22, threshold=37 |
1.8% | -12.5% | 0.41 | 0.14 | 1.4x | 7 | 3% |
| Donchian 채널 돌파 entryN=11, exitN=77 |
8.1% | -70.8% | 0.40 | 0.11 | 5.1x | 67 | 86% |
| EMA 크로스오버 fast=42, slow=147 |
6.4% | -65.3% | 0.36 | 0.10 | 3.6x | 35 | 61% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=12, mult=3.8 |
1.8% | -12.5% | 0.30 | 0.15 | 1.5x | 6 | 1% |
| ROC 모멘텀 n=148, threshold=-0.05 |
4.3% | -62.3% | 0.30 | 0.07 | 2.4x | 123 | 65% |
| Supertrend period=22, mult=5 |
-0.8% | -78.5% | 0.13 | -0.01 | 0.8x | 81 | 56% |
| MACD fast=26, slow=32, signal=16 |
-1.0% | -81.5% | 0.11 | -0.01 | 0.8x | 240 | 49% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-2.0% | -73.8% | 0.08 | -0.03 | 0.7x | 333 | 52% |
| Buy and hold | 14.0% | -65.1% | 0.52 | 0.22 | 15.5x | 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 20-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 20-day middle average