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 22.5%, MDD -41.4%).

Data 2006-06-08 ~ 2026-07-31daily bars 4,955 (20.1 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 16.2%, drawdown -82.6%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.5%, MDD -41.4%, Sharpe 0.90, 52% exposure.

Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 22.5%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
EMA 크로스오버
fast=28, slow=34
22.5%-41.4%0.900.5460.1x7052%
SMA 크로스오버
fast=10, slow=68
21.5%-44.3%0.870.4950.9x8353%
Keltner 채널 돌파
emaPeriod=37, atrPeriod=12, mult=2.4
17.3%-49.4%0.850.3524.8x8432%
Donchian 채널 돌파
entryN=24, exitN=14
17.5%-49.1%0.810.3625.9x10143%
ROC 모멘텀
n=101, threshold=-0.03
20.7%-56.1%0.800.3744.3x13866%
볼린저 밴드 돌파
n=46, k=3.5
12.6%-36.8%0.790.3410.8x2614%
MACD
fast=13, slow=86, signal=22
17.4%-47.0%0.760.3725.4x17352%
Supertrend
period=11, mult=2.8
17.2%-53.1%0.750.3224.3x15553%
ADX / DI 방향성
period=31, threshold=20
11.7%-44.1%0.670.279.4x4822%
Parabolic SAR
step=0.005, maxStep=0.38
13.0%-51.7%0.610.2511.7x13954%
Buy and hold16.2%-82.6%0.600.2020.6x1100%
1x 10x 2007 2010 2013 2016 2019 2022 2025 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -41% -62% -83% 2007 2010 2013 2016 2019 2022 2025 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -41.4% (2021-09-10 → 2024-07-05), prior peak not yet recovered.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

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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