Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Denka Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Denka Co., Ltd.. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.2%, MDD -36.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.3%, drawdown -79.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.2%, MDD -36.1%, Sharpe 0.38, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.4%, MDD -39.8%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 4.2%, MDD -36.1%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=25, mult=4 |
4.2% | -36.1% | 0.38 | 0.12 | 3.0x | 48 | 19% |
| 볼린저 밴드 돌파 n=24, k=3.1 |
1.9% | -19.3% | 0.36 | 0.10 | 1.7x | 18 | 5% |
| SMA 크로스오버 fast=24, slow=272 |
5.4% | -39.8% | 0.36 | 0.14 | 4.1x | 33 | 46% |
| ADX / DI 방향성 period=43, threshold=22 |
2.1% | -24.6% | 0.28 | 0.08 | 1.7x | 14 | 6% |
| EMA 크로스오버 fast=36, slow=192 |
3.1% | -49.1% | 0.25 | 0.06 | 2.2x | 45 | 50% |
| Donchian 채널 돌파 entryN=99, exitN=75 |
2.8% | -54.0% | 0.24 | 0.05 | 2.1x | 38 | 47% |
| Supertrend period=24, mult=4.5 |
1.7% | -53.0% | 0.19 | 0.03 | 1.6x | 106 | 54% |
| ROC 모멘텀 n=140, threshold=0 |
0.4% | -61.5% | 0.13 | 0.01 | 1.1x | 203 | 50% |
| MACD fast=14, slow=45, signal=19 |
-2.5% | -70.9% | 0.01 | -0.04 | 0.5x | 302 | 53% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-2.7% | -76.4% | 0.00 | -0.04 | 0.5x | 354 | 53% |
| Buy and hold | 3.3% | -79.1% | 0.27 | 0.04 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 48-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 48-day average