Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kyocera Corporation backtest
10 trend-following strategies were compared on the full daily history of Kyocera Corporation. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.9%, MDD -41.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.5%, drawdown -82.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.0%, MDD -49.6%, Sharpe 0.25, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 0.9%, MDD -41.8%, exposure 19%).
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=67, exitN=65 |
3.0% | -49.6% | 0.25 | 0.06 | 2.2x | 45 | 50% |
| SMA 크로스오버 fast=55, slow=248 |
1.8% | -57.7% | 0.19 | 0.03 | 1.6x | 35 | 52% |
| 볼린저 밴드 돌파 n=75, k=2.6 |
0.9% | -41.8% | 0.13 | 0.02 | 1.3x | 41 | 19% |
| EMA 크로스오버 fast=44, slow=181 |
-0.4% | -54.7% | 0.08 | -0.01 | 0.9x | 45 | 50% |
| MACD fast=19, slow=53, signal=18 |
-3.7% | -81.3% | -0.05 | -0.05 | 0.4x | 270 | 53% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=26, mult=3.6 |
-1.9% | -61.3% | -0.07 | -0.03 | 0.6x | 75 | 21% |
| ROC 모멘텀 n=74, threshold=-0.01 |
-3.9% | -84.6% | -0.09 | -0.05 | 0.3x | 323 | 56% |
| Supertrend period=24, mult=4 |
-4.2% | -82.7% | -0.10 | -0.05 | 0.3x | 139 | 53% |
| ADX / DI 방향성 period=11, threshold=37 |
-0.9% | -36.4% | -0.10 | -0.03 | 0.8x | 64 | 6% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.2% | -84.2% | -0.13 | -0.06 | 0.2x | 216 | 53% |
| Buy and hold | 0.5% | -82.4% | 0.18 | 0.01 | 1.1x | 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 67 days
- Sell — Sell when price breaks below the lowest low of the last 65 days