Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kadokawa Corporation backtest
10 trend-following strategies were compared on the full daily history of Kadokawa Corporation. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -53.8%).
Sharpe leader (same as main): MACD — CAGR 5.9%, MDD -51.1%, Sharpe 0.36, 49% exposure.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=9, slow=13, signal=9 |
5.9% | -51.1% | 0.36 | 0.12 | 2.0x | 278 | 49% |
| SMA 크로스오버 fast=75, slow=136 |
5.3% | -54.9% | 0.33 | 0.10 | 1.9x | 29 | 54% |
| Parabolic SAR step=0.015, maxStep=0.18 |
5.0% | -66.3% | 0.32 | 0.08 | 1.8x | 184 | 52% |
| Donchian 채널 돌파 entryN=58, exitN=66 |
4.8% | -48.4% | 0.31 | 0.10 | 1.7x | 21 | 56% |
| Supertrend period=27, mult=4.2 |
3.8% | -63.8% | 0.28 | 0.06 | 1.6x | 55 | 57% |
| 볼린저 밴드 돌파 n=16, k=2.2 |
3.2% | -38.6% | 0.27 | 0.08 | 1.4x | 94 | 25% |
| EMA 크로스오버 fast=15, slow=191 |
1.7% | -53.5% | 0.20 | 0.03 | 1.2x | 31 | 51% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=12, mult=1.9 |
0.5% | -45.1% | 0.12 | 0.01 | 1.1x | 78 | 35% |
| ADX / DI 방향성 period=35, threshold=25 |
0.3% | -22.1% | 0.08 | 0.02 | 1.0x | 10 | 5% |
| ROC 모멘텀 n=93, threshold=0.13 |
-1.5% | -51.3% | 0.04 | -0.03 | 0.8x | 121 | 29% |
| Buy and hold | 9.9% | -53.8% | 0.44 | 0.18 | 3.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (9/13) crosses above its 9-day signal line
- Sell — Sell when the MACD line crosses back below the signal line