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. 4 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 3.1%, MDD -30.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.6%, drawdown -87.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.1%, MDD -30.5%, Sharpe 0.31, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -69.1%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 56.6%p (CAGR 3.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=33, k=3.1 |
3.1% | -30.5% | 0.31 | 0.10 | 2.2x | 53 | 12% |
| SMA 크로스오버 fast=45, slow=103 |
3.8% | -69.1% | 0.28 | 0.05 | 2.7x | 66 | 51% |
| 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 |
3.1% | -50.5% | 0.25 | 0.06 | 2.3x | 49 | 52% |
| ROC 모멘텀 n=67, threshold=0.14 |
1.4% | -42.8% | 0.17 | 0.03 | 1.4x | 139 | 15% |
| Supertrend period=16, mult=4.8 |
0.7% | -76.3% | 0.13 | 0.01 | 1.2x | 101 | 50% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=11, mult=3.2 |
0.5% | -56.6% | 0.10 | 0.01 | 1.1x | 95 | 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 |
-0.7% | -73.9% | 0.07 | -0.01 | 0.8x | 329 | 53% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.1% | -83.9% | 0.00 | -0.02 | 0.6x | 205 | 52% |
| Buy and hold | 1.6% | -87.1% | 0.20 | 0.02 | 1.5x | 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 33-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 33-day middle average