Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kanematsu Corporation backtest
10 trend-following strategies were compared on the full daily history of Kanematsu Corporation. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.2%, MDD -45.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.7%, drawdown -87.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.5%, MDD -55.8%, Sharpe 0.47, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 7.2%, MDD -45.3%, exposure 27%).
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=54, k=1.9 |
8.5% | -55.8% | 0.47 | 0.15 | 8.1x | 97 | 34% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=24, mult=2.9 |
7.2% | -45.3% | 0.44 | 0.16 | 5.9x | 102 | 27% |
| ADX / DI 방향성 period=10, threshold=36 |
5.5% | -41.0% | 0.40 | 0.13 | 4.0x | 150 | 17% |
| Donchian 채널 돌파 entryN=30, exitN=33 |
7.3% | -71.7% | 0.39 | 0.10 | 6.0x | 95 | 55% |
| EMA 크로스오버 fast=76, slow=205 |
6.2% | -56.9% | 0.37 | 0.11 | 4.7x | 25 | 56% |
| SMA 크로스오버 fast=57, slow=65 |
6.3% | -60.8% | 0.36 | 0.10 | 4.8x | 149 | 54% |
| Supertrend period=9, mult=4.9 |
6.2% | -63.6% | 0.36 | 0.10 | 4.6x | 84 | 50% |
| MACD fast=17, slow=45, signal=17 |
2.5% | -76.8% | 0.23 | 0.03 | 1.9x | 289 | 52% |
| Parabolic SAR step=0.04, maxStep=0.18 |
2.4% | -68.2% | 0.22 | 0.04 | 1.8x | 683 | 52% |
| ROC 모멘텀 n=48, threshold=-0.01 |
0.2% | -84.7% | 0.15 | 0.00 | 1.1x | 405 | 56% |
| Buy and hold | 7.7% | -87.6% | 0.39 | 0.09 | 6.7x | 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 54-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 54-day middle average