Trend-Following Backtester · Guide · backtest 한국어
equity · JP
K'S HOLDINGS CORPORATION backtest
10 trend-following strategies were compared on the full daily history of K'S HOLDINGS CORPORATION. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 9.5%, MDD -40.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.7%, drawdown -69.6%).
Sharpe leader (same as main): MACD — CAGR 9.5%, MDD -40.7%, Sharpe 0.52, 50% exposure.
Return/drawdown alternative: MACD — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 9.5%, MDD -40.7%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=31, slow=51, signal=6 |
9.5% | -40.7% | 0.52 | 0.23 | 6.6x | 261 | 50% |
| 볼린저 밴드 돌파 n=34, k=1.1 |
7.1% | -47.3% | 0.44 | 0.15 | 4.2x | 172 | 43% |
| Supertrend period=15, mult=4.9 |
6.4% | -47.6% | 0.39 | 0.13 | 3.7x | 70 | 50% |
| Donchian 채널 돌파 entryN=16, exitN=26 |
6.7% | -51.9% | 0.39 | 0.13 | 3.8x | 103 | 62% |
| Parabolic SAR step=0.005, maxStep=0.2 |
6.0% | -39.4% | 0.37 | 0.15 | 3.4x | 161 | 54% |
| SMA 크로스오버 fast=5, slow=217 |
5.3% | -38.9% | 0.35 | 0.14 | 2.9x | 53 | 55% |
| EMA 크로스오버 fast=14, slow=15 |
5.4% | -48.0% | 0.35 | 0.11 | 3.0x | 191 | 52% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=18, mult=2.7 |
3.0% | -17.8% | 0.32 | 0.17 | 1.9x | 66 | 11% |
| ROC 모멘텀 n=164, threshold=-0.08 |
1.4% | -52.2% | 0.18 | 0.03 | 1.3x | 117 | 66% |
| ADX / DI 방향성 period=21, threshold=31 |
0.9% | -29.2% | 0.14 | 0.03 | 1.2x | 40 | 7% |
| Buy and hold | 6.7% | -69.6% | 0.37 | 0.10 | 3.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (31/51) crosses above its 6-day signal line
- Sell — Sell when the MACD line crosses back below the signal line