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. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -15.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.4%, drawdown -78.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.3%, MDD -44.5%, Sharpe 0.41, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 1.4%, MDD -15.9%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=14, slow=166 |
6.3% | -44.5% | 0.41 | 0.14 | 4.8x | 51 | 46% |
| EMA 크로스오버 fast=42, slow=94 |
5.6% | -40.2% | 0.38 | 0.14 | 4.0x | 45 | 47% |
| 볼린저 밴드 돌파 n=51, k=2.3 |
3.5% | -35.5% | 0.32 | 0.10 | 2.4x | 76 | 27% |
| ADX / DI 방향성 period=33, threshold=30 |
1.4% | -15.9% | 0.29 | 0.09 | 1.4x | 6 | 2% |
| Donchian 채널 돌파 entryN=120, exitN=62 |
3.4% | -39.2% | 0.28 | 0.09 | 2.4x | 35 | 38% |
| Supertrend period=7, mult=4.4 |
1.5% | -53.3% | 0.17 | 0.03 | 1.5x | 109 | 46% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=29, mult=2.5 |
1.2% | -52.7% | 0.16 | 0.02 | 1.4x | 106 | 31% |
| MACD fast=29, slow=44, signal=15 |
0.7% | -63.4% | 0.14 | 0.01 | 1.2x | 250 | 53% |
| ROC 모멘텀 n=124, threshold=-0.03 |
-0.3% | -66.9% | 0.09 | -0.00 | 0.9x | 205 | 55% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-0.7% | -61.6% | 0.06 | -0.01 | 0.8x | 208 | 52% |
| Buy and hold | 0.4% | -78.2% | 0.17 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 14-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 14-day average falls below the 166-day average