Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kaneka Corporation backtest
10 trend-following strategies were compared on the full daily history of Kaneka Corporation. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -16.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.2%, drawdown -78.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.3%, MDD -37.2%, Sharpe 0.36, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 1.1%, MDD -16.1%, exposure 2%).
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=23, slow=116 |
5.3% | -37.2% | 0.36 | 0.14 | 3.7x | 51 | 46% |
| SMA 크로스오버 fast=18, slow=191 |
4.4% | -45.8% | 0.32 | 0.10 | 3.0x | 45 | 46% |
| Donchian 채널 돌파 entryN=44, exitN=7 |
2.9% | -42.7% | 0.28 | 0.07 | 2.1x | 141 | 23% |
| ADX / DI 방향성 period=38, threshold=28 |
1.1% | -16.1% | 0.22 | 0.07 | 1.3x | 6 | 2% |
| 볼린저 밴드 돌파 n=51, k=2 |
1.7% | -48.9% | 0.19 | 0.03 | 1.5x | 97 | 30% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=19, mult=2.3 |
0.7% | -54.1% | 0.12 | 0.01 | 1.2x | 121 | 32% |
| Supertrend period=20, mult=4 |
-0.0% | -57.4% | 0.10 | -0.00 | 1.0x | 135 | 51% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-0.8% | -61.6% | 0.06 | -0.01 | 0.8x | 207 | 52% |
| ROC 모멘텀 n=126, threshold=0.02 |
-1.1% | -60.9% | 0.04 | -0.02 | 0.7x | 205 | 46% |
| MACD fast=17, slow=42, signal=15 |
-2.6% | -73.7% | -0.03 | -0.04 | 0.5x | 320 | 54% |
| Buy and hold | 0.2% | -78.2% | 0.16 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 23-day EMA crosses above the 116-day EMA
- Sell — Sell when the 23-day EMA falls below the 116-day EMA