Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Keikyu Corporation backtest
10 trend-following strategies were compared on the full daily history of Keikyu Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 2.1%, drawdown -61.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.3%, MDD -63.8%, Sharpe 0.21, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=10, threshold=-0.12 |
2.3% | -63.8% | 0.21 | 0.04 | 1.8x | 33 | 99% |
| ADX / DI 방향성 period=34, threshold=19 |
0.5% | -29.9% | 0.10 | 0.02 | 1.1x | 54 | 13% |
| 볼린저 밴드 돌파 n=31, k=3 |
0.4% | -29.6% | 0.09 | 0.01 | 1.1x | 56 | 13% |
| SMA 크로스오버 fast=31, slow=73 |
-0.4% | -65.9% | 0.06 | -0.01 | 0.9x | 105 | 53% |
| Donchian 채널 돌파 entryN=13, exitN=57 |
-1.0% | -76.5% | 0.05 | -0.01 | 0.8x | 99 | 79% |
| EMA 크로스오버 fast=54, slow=184 |
-1.5% | -59.7% | -0.01 | -0.03 | 0.7x | 39 | 56% |
| Supertrend period=10, mult=2.8 |
-1.8% | -78.1% | -0.03 | -0.02 | 0.6x | 211 | 51% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=24, mult=3.9 |
-1.4% | -45.4% | -0.11 | -0.03 | 0.7x | 60 | 13% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-6.8% | -89.3% | -0.35 | -0.08 | 0.2x | 429 | 52% |
| MACD fast=18, slow=22, signal=8 |
-7.8% | -89.3% | -0.43 | -0.09 | 0.1x | 475 | 51% |
| Buy and hold | 2.1% | -61.9% | 0.21 | 0.03 | 1.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 10-day return is greater than -12%
- Sell — Sell when the 10-day return drops to -12% or below