Trend-Following Backtester · Guide · backtest 한국어

equity · JP

Kirin Holdings Co. Ltd. backtest

10 trend-following strategies were compared on the full daily history of Kirin Holdings Co. Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.

Data 2000-01-04 ~ 2026-07-31daily bars 6,632 (26.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 4.0%, drawdown -56.1%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -21.9%, Sharpe 0.29, 7% exposure.

CAGR reference leader: Supertrend — CAGR 3.2%, MDD -48.1%, exposure 51%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=44, k=3.4
1.7%-21.9%0.290.081.6x187%
Supertrend
period=6, mult=4.9
3.2%-48.1%0.270.072.3x9351%
Donchian 채널 돌파
entryN=83, exitN=51
2.9%-58.2%0.260.052.1x4744%
ADX / DI 방향성
period=25, threshold=39
0.6%-7.3%0.260.081.2x20%
SMA 크로스오버
fast=16, slow=111
1.6%-57.1%0.180.031.5x8351%
EMA 크로스오버
fast=46, slow=51
1.5%-55.6%0.170.031.5x8152%
Parabolic SAR
step=0.005, maxStep=0.32
1.3%-49.8%0.160.031.4x21152%
Keltner 채널 돌파
emaPeriod=53, atrPeriod=10, mult=2.1
0.4%-48.1%0.100.011.1x13534%
ROC 모멘텀
n=146, threshold=0.1
-0.8%-47.9%0.00-0.020.8x17128%
MACD
fast=21, slow=42, signal=21
-1.5%-54.5%-0.01-0.030.7x26151%
Buy and hold4.0%-56.1%0.280.072.8x1100%
1x 2001 2005 2009 2013 2017 2021 2025 Supertrend볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -14% -28% -42% -56% 2001 2005 2009 2013 2017 2021 2025 Buy and holdSupertrend볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -21.9% (2013-05-16 → 2026-03-23), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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