Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kawasaki Kisen Kaisha, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kawasaki Kisen Kaisha, Ltd.. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.3%, MDD -54.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.9%, drawdown -95.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.3%, MDD -54.3%, Sharpe 0.67, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 41.5%p (CAGR 17.3%, MDD -54.3%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=37, slow=120 |
17.3% | -54.3% | 0.67 | 0.32 | 70.6x | 45 | 55% |
| SMA 크로스오버 fast=23, slow=165 |
14.5% | -67.0% | 0.59 | 0.22 | 36.6x | 49 | 55% |
| Donchian 채널 돌파 entryN=64, exitN=79 |
11.5% | -77.7% | 0.50 | 0.15 | 18.4x | 45 | 57% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
7.7% | -46.1% | 0.49 | 0.17 | 7.2x | 43 | 18% |
| ROC 모멘텀 n=112, threshold=0.06 |
10.4% | -71.8% | 0.48 | 0.14 | 14.0x | 243 | 46% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=1.4 |
7.3% | -59.7% | 0.39 | 0.12 | 6.5x | 187 | 44% |
| Supertrend period=29, mult=5 |
7.3% | -78.0% | 0.39 | 0.09 | 6.6x | 95 | 50% |
| MACD fast=17, slow=57, signal=8 |
5.1% | -86.7% | 0.32 | 0.06 | 3.7x | 395 | 52% |
| ADX / DI 방향성 period=34, threshold=24 |
3.5% | -42.8% | 0.29 | 0.08 | 2.5x | 30 | 11% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.0% | -90.8% | 0.25 | 0.03 | 2.2x | 437 | 54% |
| Buy and hold | 11.9% | -95.8% | 0.48 | 0.12 | 19.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 37-day EMA crosses above the 120-day EMA
- Sell — Sell when the 37-day EMA falls below the 120-day EMA