Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kubota Corporation backtest
10 trend-following strategies were compared on the full daily history of Kubota Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -75.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.6%, MDD -57.5%, Sharpe 0.31, 48% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.7%, MDD -68.1%, exposure 54%.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=54, exitN=35 |
4.6% | -57.5% | 0.31 | 0.08 | 3.3x | 71 | 48% |
| SMA 크로스오버 fast=41, slow=125 |
4.7% | -68.1% | 0.31 | 0.07 | 3.4x | 53 | 54% |
| EMA 크로스오버 fast=12, slow=152 |
4.3% | -56.3% | 0.30 | 0.08 | 3.1x | 81 | 53% |
| ADX / DI 방향성 period=45, threshold=19 |
2.6% | -26.8% | 0.29 | 0.10 | 2.0x | 22 | 7% |
| 볼린저 밴드 돌파 n=44, k=3 |
2.8% | -36.9% | 0.29 | 0.08 | 2.1x | 32 | 11% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=26, mult=4 |
1.9% | -43.9% | 0.20 | 0.04 | 1.6x | 54 | 16% |
| Supertrend period=11, mult=4.8 |
0.8% | -69.4% | 0.16 | 0.01 | 1.2x | 109 | 53% |
| ROC 모멘텀 n=101, threshold=0.12 |
0.7% | -54.3% | 0.13 | 0.01 | 1.2x | 250 | 32% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-2.5% | -72.2% | 0.02 | -0.04 | 0.5x | 355 | 54% |
| MACD fast=28, slow=38, signal=21 |
-3.4% | -71.2% | -0.01 | -0.05 | 0.4x | 261 | 55% |
| Buy and hold | 7.5% | -75.3% | 0.38 | 0.10 | 6.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 54 days
- Sell — Sell when price breaks below the lowest low of the last 35 days