Trend-Following Backtester · Guide · backtest 한국어
equity · JP
KDDI Corporation backtest
10 trend-following strategies were compared on the full daily history of KDDI Corporation. 3 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.1%, MDD -41.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.4%, drawdown -86.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.6%, MDD -55.4%, Sharpe 0.35, 78% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 5.1%, MDD -41.2%, exposure 59%).
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 n=199, threshold=-0.11 |
5.6% | -55.4% | 0.35 | 0.10 | 4.3x | 129 | 78% |
| EMA 크로스오버 fast=59, slow=129 |
5.1% | -41.2% | 0.34 | 0.12 | 3.8x | 37 | 59% |
| SMA 크로스오버 fast=30, slow=257 |
4.8% | -44.8% | 0.32 | 0.11 | 3.5x | 33 | 60% |
| 볼린저 밴드 돌파 n=25, k=3.3 |
2.2% | -14.0% | 0.31 | 0.15 | 1.8x | 28 | 6% |
| ADX / DI 방향성 period=27, threshold=27 |
2.0% | -20.3% | 0.30 | 0.10 | 1.7x | 16 | 5% |
| Donchian 채널 돌파 entryN=84, exitN=61 |
3.1% | -43.9% | 0.26 | 0.07 | 2.3x | 47 | 51% |
| Supertrend period=25, mult=5 |
-2.7% | -61.2% | -0.00 | -0.04 | 0.5x | 97 | 52% |
| MACD fast=17, slow=39, signal=19 |
-3.4% | -75.8% | -0.03 | -0.04 | 0.4x | 305 | 51% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=2.4 |
-3.0% | -66.6% | -0.09 | -0.05 | 0.4x | 131 | 33% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-5.8% | -84.0% | -0.16 | -0.07 | 0.2x | 221 | 52% |
| Buy and hold | 3.4% | -86.0% | 0.27 | 0.04 | 2.4x | 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 199-day return is greater than -11%
- Sell — Sell when the 199-day return drops to -11% or below