Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kyushu Railway Company backtest
10 trend-following strategies were compared on the full daily history of Kyushu Railway Company. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.0%, MDD -4.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.9%, drawdown -47.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.0%, MDD -4.3%, Sharpe 0.68, 2% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.2%, MDD -39.4%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 2.0%, MDD -4.3%, exposure 2%).
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=16, k=3.3 |
2.0% | -4.3% | 0.68 | 0.47 | 1.2x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=16, mult=3.3 |
1.6% | -10.3% | 0.34 | 0.16 | 1.2x | 10 | 5% |
| ROC 모멘텀 Hold-like · Exposure 96% n=16, threshold=-0.09 |
3.2% | -39.4% | 0.26 | 0.08 | 1.4x | 23 | 96% |
| Donchian 채널 돌파 entryN=38, exitN=70 |
1.0% | -34.2% | 0.15 | 0.03 | 1.1x | 21 | 67% |
| ADX / DI 방향성 period=16, threshold=33 |
0.4% | -13.4% | 0.09 | 0.03 | 1.0x | 12 | 6% |
| SMA 크로스오버 fast=91, slow=106 |
-0.7% | -49.6% | 0.02 | -0.02 | 0.9x | 40 | 55% |
| MACD fast=16, slow=40, signal=13 |
-2.8% | -42.5% | -0.11 | -0.07 | 0.8x | 115 | 52% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-3.0% | -45.0% | -0.13 | -0.07 | 0.7x | 121 | 52% |
| Supertrend period=9, mult=2.4 |
-3.4% | -42.4% | -0.16 | -0.08 | 0.7x | 95 | 51% |
| EMA 크로스오버 fast=53, slow=71 |
-3.9% | -53.2% | -0.18 | -0.07 | 0.7x | 28 | 58% |
| Buy and hold | 1.9% | -47.3% | 0.19 | 0.04 | 1.2x | 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 16-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 16-day middle average