Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kawasaki Heavy Industries Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kawasaki Heavy Industries Ltd.. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.8%, MDD -46.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.2%, drawdown -80.5%).
Sharpe leader (same as main): Supertrend — CAGR 12.6%, MDD -52.9%, Sharpe 0.58, 47% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 27.6%p (CAGR 11.8%, MDD -46.8%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=21, mult=4.8 |
12.6% | -52.9% | 0.58 | 0.24 | 13.3x | 78 | 47% |
| SMA 크로스오버 fast=15, slow=69 |
12.0% | -56.4% | 0.54 | 0.21 | 11.7x | 90 | 55% |
| EMA 크로스오버 fast=49, slow=80 |
11.8% | -46.8% | 0.53 | 0.25 | 11.2x | 42 | 55% |
| Donchian 채널 돌파 entryN=70, exitN=27 |
8.9% | -48.5% | 0.49 | 0.18 | 6.4x | 60 | 36% |
| ROC 모멘텀 n=102, threshold=0.04 |
8.9% | -56.6% | 0.45 | 0.16 | 6.3x | 172 | 50% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=10, mult=1.5 |
7.5% | -55.6% | 0.41 | 0.13 | 4.8x | 146 | 44% |
| 볼린저 밴드 돌파 n=55, k=1.6 |
6.2% | -55.3% | 0.37 | 0.11 | 3.7x | 98 | 38% |
| MACD fast=17, slow=53, signal=26 |
5.8% | -52.3% | 0.34 | 0.11 | 3.4x | 200 | 49% |
| ADX / DI 방향성 period=18, threshold=12 |
5.6% | -58.4% | 0.34 | 0.10 | 3.3x | 330 | 50% |
| Parabolic SAR step=0.035, maxStep=0.24 |
-0.1% | -85.8% | 0.14 | -0.00 | 1.0x | 613 | 52% |
| Buy and hold | 10.2% | -80.5% | 0.45 | 0.13 | 8.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 21-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)