Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hankyu Hanshin Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hankyu Hanshin Holdings, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -64.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.4%, MDD -23.4%, Sharpe 0.23, 5% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.5%, MDD -46.3%, exposure 50%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=8, mult=3.6 |
1.4% | -23.4% | 0.23 | 0.06 | 1.4x | 24 | 5% |
| EMA 크로스오버 fast=38, slow=451 |
2.5% | -46.3% | 0.23 | 0.05 | 1.9x | 21 | 50% |
| 볼린저 밴드 돌파 n=40, k=2.3 |
1.9% | -43.3% | 0.22 | 0.04 | 1.6x | 94 | 24% |
| Donchian 채널 돌파 entryN=34, exitN=9 |
0.6% | -42.7% | 0.11 | 0.01 | 1.2x | 164 | 29% |
| ADX / DI 방향성 period=25, threshold=28 |
0.5% | -30.4% | 0.10 | 0.02 | 1.1x | 36 | 6% |
| SMA 크로스오버 fast=27, slow=191 |
-0.2% | -62.0% | 0.07 | -0.00 | 0.9x | 55 | 48% |
| Supertrend period=23, mult=4.3 |
-0.3% | -52.7% | 0.07 | -0.00 | 0.9x | 112 | 49% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-2.9% | -74.5% | -0.10 | -0.04 | 0.5x | 322 | 53% |
| ROC 모멘텀 n=136, threshold=0.14 |
-1.9% | -60.4% | -0.11 | -0.03 | 0.6x | 162 | 20% |
| MACD fast=19, slow=26, signal=16 |
-4.9% | -81.8% | -0.22 | -0.06 | 0.3x | 349 | 53% |
| Buy and hold | 3.7% | -64.7% | 0.27 | 0.06 | 2.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 20-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average