Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kobe Bussan Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kobe Bussan Co., Ltd.. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 22.4%, MDD -41.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 16.3%, drawdown -82.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.4%, MDD -41.4%, Sharpe 0.89, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 22.4%, MDD -41.4%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=28, slow=34 |
22.4% | -41.4% | 0.89 | 0.54 | 59.4x | 71 | 52% |
| SMA 크로스오버 fast=10, slow=68 |
21.6% | -44.3% | 0.87 | 0.49 | 52.2x | 83 | 53% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=12, mult=2.4 |
17.2% | -49.4% | 0.85 | 0.35 | 24.8x | 84 | 32% |
| Donchian 채널 돌파 entryN=24, exitN=14 |
17.6% | -49.1% | 0.81 | 0.36 | 26.6x | 101 | 43% |
| ROC 모멘텀 n=101, threshold=-0.03 |
20.6% | -56.1% | 0.80 | 0.37 | 44.3x | 138 | 66% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
12.5% | -36.8% | 0.79 | 0.34 | 10.8x | 26 | 14% |
| MACD fast=13, slow=86, signal=22 |
17.5% | -47.0% | 0.77 | 0.37 | 26.1x | 173 | 52% |
| Supertrend period=11, mult=2.8 |
17.2% | -53.1% | 0.75 | 0.32 | 24.9x | 155 | 54% |
| ADX / DI 방향성 period=31, threshold=20 |
11.7% | -44.1% | 0.67 | 0.27 | 9.4x | 48 | 22% |
| Parabolic SAR step=0.005, maxStep=0.38 |
13.1% | -51.7% | 0.61 | 0.25 | 12.0x | 139 | 54% |
| Buy and hold | 16.3% | -82.6% | 0.60 | 0.20 | 21.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 34-day EMA
- Sell — Sell when the 28-day EMA falls below the 34-day EMA