Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kikkoman Corporation backtest
10 trend-following strategies were compared on the full daily history of Kikkoman Corporation. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.9%, MDD -49.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -62.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.2%, MDD -53.8%, Sharpe 0.46, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 8.6%p (CAGR 7.9%, MDD -49.8%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.09 |
9.2% | -53.8% | 0.46 | 0.17 | 10.4x | 41 | 99% |
| SMA 크로스오버 fast=55, slow=184 |
7.9% | -49.8% | 0.46 | 0.16 | 7.5x | 35 | 59% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
2.5% | -21.6% | 0.40 | 0.12 | 1.9x | 14 | 6% |
| EMA 크로스오버 fast=77, slow=79 |
6.1% | -49.5% | 0.38 | 0.12 | 4.9x | 41 | 62% |
| Donchian 채널 돌파 entryN=108, exitN=76 |
5.2% | -44.3% | 0.36 | 0.12 | 3.9x | 33 | 52% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=15, mult=4 |
2.2% | -35.5% | 0.26 | 0.06 | 1.8x | 54 | 15% |
| ADX / DI 방향성 period=22, threshold=43 |
0.4% | -5.2% | 0.24 | 0.07 | 1.1x | 4 | 1% |
| Supertrend period=28, mult=4.9 |
1.8% | -49.5% | 0.19 | 0.04 | 1.6x | 91 | 56% |
| MACD fast=17, slow=29, signal=18 |
1.4% | -57.1% | 0.17 | 0.02 | 1.4x | 320 | 53% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.1% | -57.2% | 0.03 | -0.02 | 0.7x | 229 | 53% |
| Buy and hold | 9.9% | -62.4% | 0.47 | 0.16 | 12.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than -9%
- Sell — Sell when the 3-day return drops to -9% or below