Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Keyence Corporation backtest
10 trend-following strategies were compared on the full daily history of Keyence Corporation. 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 12.1%, drawdown -55.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.4%, MDD -51.0%, Sharpe 0.37, 61% 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=27, slow=183 |
6.4% | -51.0% | 0.37 | 0.13 | 4.9x | 47 | 61% |
| EMA 크로스오버 fast=35, slow=88 |
4.6% | -55.3% | 0.31 | 0.08 | 3.2x | 69 | 60% |
| Donchian 채널 돌파 entryN=91, exitN=70 |
4.0% | -66.3% | 0.29 | 0.06 | 2.7x | 41 | 52% |
| ROC 모멘텀 n=174, threshold=0.03 |
2.1% | -62.3% | 0.20 | 0.03 | 1.7x | 245 | 57% |
| ADX / DI 방향성 period=51, threshold=21 |
1.1% | -24.3% | 0.19 | 0.05 | 1.3x | 20 | 5% |
| 볼린저 밴드 돌파 n=72, k=3.4 |
1.3% | -34.1% | 0.17 | 0.04 | 1.4x | 22 | 13% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=22, mult=2.7 |
0.3% | -55.7% | 0.11 | 0.00 | 1.1x | 110 | 43% |
| Supertrend period=24, mult=4.1 |
-3.3% | -83.1% | -0.02 | -0.04 | 0.4x | 154 | 59% |
| MACD fast=13, slow=47, signal=18 |
-4.3% | -90.8% | -0.09 | -0.05 | 0.3x | 328 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.8% | -91.6% | -0.19 | -0.07 | 0.2x | 441 | 53% |
| Buy and hold | 12.1% | -55.1% | 0.50 | 0.22 | 18.6x | 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 27-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 27-day average falls below the 183-day average