Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hitachi Construction Machinery Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hitachi Construction Machinery Co., Ltd.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.8%, MDD -55.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -83.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.9%, MDD -53.8%, Sharpe 0.49, 41% exposure.
CAGR reference leader: Supertrend — CAGR 9.8%, MDD -55.7%, exposure 53%.
Return/drawdown alternative: Supertrend — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 29.7%p (CAGR 9.8%, MDD -55.7%, exposure 53%).
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=68, atrPeriod=22, mult=2.3 |
8.9% | -53.8% | 0.49 | 0.17 | 8.9x | 112 | 41% |
| Supertrend period=6, mult=4.9 |
9.8% | -55.7% | 0.49 | 0.18 | 11.0x | 104 | 53% |
| SMA 크로스오버 fast=44, slow=154 |
8.8% | -59.8% | 0.44 | 0.15 | 8.7x | 48 | 54% |
| ADX / DI 방향성 period=28, threshold=6 |
7.1% | -59.5% | 0.39 | 0.12 | 5.8x | 371 | 52% |
| Donchian 채널 돌파 entryN=18, exitN=48 |
7.7% | -65.8% | 0.39 | 0.12 | 6.6x | 95 | 75% |
| 볼린저 밴드 돌파 n=23, k=1.3 |
6.3% | -49.9% | 0.38 | 0.13 | 4.7x | 291 | 42% |
| EMA 크로스오버 fast=36, slow=185 |
6.7% | -72.1% | 0.37 | 0.09 | 5.2x | 45 | 55% |
| ROC 모멘텀 n=67, threshold=-0.03 |
5.5% | -69.6% | 0.33 | 0.08 | 3.9x | 293 | 62% |
| MACD fast=16, slow=54, signal=16 |
5.1% | -65.3% | 0.32 | 0.08 | 3.6x | 295 | 53% |
| Parabolic SAR step=0.03, maxStep=0.44 |
-2.6% | -85.0% | 0.05 | -0.03 | 0.5x | 675 | 53% |
| Buy and hold | 10.6% | -83.5% | 0.45 | 0.13 | 13.1x | 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 68-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 68-day average