Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Koito Manufacturing Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Koito Manufacturing Co., Ltd.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.3%, MDD -49.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.0%, drawdown -74.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.4%, MDD -41.2%, Sharpe 0.54, 32% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.3%, MDD -49.8%, exposure 55%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 33.5%p (CAGR 10.3%, MDD -49.8%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=97, k=2.5 |
8.4% | -41.2% | 0.54 | 0.21 | 8.0x | 38 | 32% |
| SMA 크로스오버 fast=20, slow=274 |
10.3% | -49.8% | 0.53 | 0.21 | 12.3x | 29 | 55% |
| Donchian 채널 돌파 entryN=163, exitN=102 |
9.2% | -53.9% | 0.50 | 0.17 | 9.4x | 19 | 47% |
| EMA 크로스오버 fast=29, slow=210 |
9.3% | -53.0% | 0.49 | 0.18 | 9.7x | 39 | 58% |
| ROC 모멘텀 n=158, threshold=0.17 |
5.9% | -46.2% | 0.40 | 0.13 | 4.4x | 130 | 33% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=24, mult=3.1 |
4.0% | -44.0% | 0.30 | 0.09 | 2.7x | 86 | 35% |
| ADX / DI 방향성 period=36, threshold=12 |
3.0% | -66.6% | 0.25 | 0.05 | 2.1x | 180 | 31% |
| Supertrend period=9, mult=5 |
3.0% | -73.5% | 0.24 | 0.04 | 2.1x | 88 | 56% |
| MACD fast=8, slow=39, signal=9 |
0.0% | -74.0% | 0.13 | 0.00 | 1.0x | 505 | 51% |
| Parabolic SAR step=0.035, maxStep=0.12 |
-1.1% | -71.4% | 0.08 | -0.02 | 0.8x | 613 | 53% |
| Buy and hold | 10.0% | -74.6% | 0.45 | 0.13 | 11.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 97-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 97-day middle average