Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kansai Paint Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kansai Paint Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -64.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -51.6%, Sharpe 0.38, 60% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=41, slow=201 |
5.9% | -51.6% | 0.38 | 0.11 | 4.4x | 33 | 60% |
| ROC 모멘텀 n=108, threshold=-0.09 |
5.7% | -54.9% | 0.35 | 0.10 | 4.1x | 175 | 77% |
| EMA 크로스오버 fast=51, slow=218 |
5.3% | -55.9% | 0.35 | 0.09 | 3.7x | 27 | 62% |
| Donchian 채널 돌파 entryN=61, exitN=75 |
3.8% | -45.6% | 0.28 | 0.08 | 2.6x | 49 | 63% |
| MACD fast=22, slow=57, signal=27 |
2.5% | -55.0% | 0.22 | 0.05 | 1.9x | 207 | 51% |
| Supertrend period=11, mult=4.1 |
0.8% | -59.8% | 0.14 | 0.01 | 1.2x | 131 | 54% |
| 볼린저 밴드 돌파 n=26, k=1.5 |
0.9% | -61.2% | 0.14 | 0.02 | 1.3x | 247 | 39% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=19, mult=2.9 |
0.5% | -43.6% | 0.11 | 0.01 | 1.1x | 109 | 23% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-0.3% | -63.4% | 0.09 | -0.00 | 0.9x | 333 | 53% |
| ADX / DI 방향성 period=26, threshold=11 |
-2.4% | -68.6% | -0.04 | -0.03 | 0.5x | 319 | 45% |
| Buy and hold | 8.5% | -64.9% | 0.42 | 0.13 | 8.1x | 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 41-day average price crosses above the 201-day average
- Sell — Sell (to cash) when the 41-day average falls below the 201-day average