Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kyowa Kirin Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kyowa Kirin Co., Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -72.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.5%, MDD -12.3%, Sharpe 0.15, 2% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 0.6%, MDD -31.6%, exposure 4%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=33 |
0.5% | -12.3% | 0.15 | 0.04 | 1.1x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=28, mult=3.3 |
0.6% | -31.6% | 0.15 | 0.02 | 1.2x | 26 | 4% |
| SMA 크로스오버 fast=21, slow=78 |
0.4% | -65.2% | 0.12 | 0.01 | 1.1x | 95 | 49% |
| Donchian 채널 돌파 entryN=45, exitN=60 |
0.1% | -56.5% | 0.11 | 0.00 | 1.0x | 69 | 56% |
| EMA 크로스오버 fast=26, slow=196 |
-1.3% | -58.2% | 0.05 | -0.02 | 0.7x | 57 | 55% |
| Supertrend period=29, mult=4.5 |
-1.2% | -72.9% | 0.04 | -0.02 | 0.7x | 111 | 49% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-1.4% | -70.3% | 0.03 | -0.02 | 0.7x | 332 | 52% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
-0.4% | -26.6% | -0.01 | -0.01 | 0.9x | 22 | 8% |
| MACD fast=16, slow=39, signal=16 |
-2.4% | -62.2% | -0.03 | -0.04 | 0.5x | 312 | 51% |
| ROC 모멘텀 n=149, threshold=-0.04 |
-4.1% | -78.1% | -0.08 | -0.05 | 0.3x | 223 | 61% |
| Buy and hold | 4.9% | -72.9% | 0.31 | 0.07 | 3.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)