Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kansai Electric Power Company, Incorporated backtest
10 trend-following strategies were compared on the full daily history of Kansai Electric Power Company, Incorporated. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.5%, MDD -30.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.1%, drawdown -87.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.8%, MDD -69.1%, Sharpe 0.28, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 2.5%, MDD -30.5%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=103 |
3.8% | -69.1% | 0.28 | 0.05 | 2.7x | 66 | 51% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
2.5% | -30.5% | 0.27 | 0.08 | 1.9x | 53 | 12% |
| Donchian 채널 돌파 entryN=106, exitN=99 |
3.3% | -53.4% | 0.26 | 0.06 | 2.4x | 28 | 49% |
| EMA 크로스오버 fast=23, slow=208 |
2.6% | -50.5% | 0.23 | 0.05 | 2.0x | 49 | 51% |
| ROC 모멘텀 n=67, threshold=0.14 |
1.2% | -42.8% | 0.15 | 0.03 | 1.4x | 136 | 15% |
| Supertrend period=16, mult=4.8 |
0.3% | -76.3% | 0.12 | 0.00 | 1.1x | 100 | 50% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=11, mult=3.2 |
0.2% | -56.6% | 0.09 | 0.00 | 1.1x | 94 | 21% |
| ADX / DI 방향성 period=24, threshold=24 |
0.3% | -51.5% | 0.08 | 0.01 | 1.1x | 50 | 12% |
| MACD fast=17, slow=53, signal=12 |
-1.2% | -73.9% | 0.05 | -0.02 | 0.7x | 329 | 53% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.6% | -83.9% | -0.03 | -0.03 | 0.5x | 205 | 52% |
| Buy and hold | 1.1% | -87.1% | 0.19 | 0.01 | 1.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 103-day average
- Sell — Sell (to cash) when the 45-day average falls below the 103-day average