Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kyushu Electric Power Company,Incorporated backtest
10 trend-following strategies were compared on the full daily history of Kyushu Electric Power Company,Incorporated. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -14.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.4%, drawdown -87.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.4%, MDD -32.6%, Sharpe 0.25, 20% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.5%, MDD -49.8%, exposure 45%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 54.6%p (CAGR 0.6%, MDD -14.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=92, exitN=17 |
2.4% | -32.6% | 0.25 | 0.07 | 1.9x | 64 | 20% |
| 볼린저 밴드 돌파 n=37, k=3.4 |
1.7% | -27.3% | 0.25 | 0.06 | 1.5x | 16 | 5% |
| EMA 크로스오버 fast=20, slow=192 |
2.5% | -49.8% | 0.23 | 0.05 | 1.9x | 49 | 45% |
| SMA 크로스오버 fast=52, slow=91 |
2.4% | -55.5% | 0.22 | 0.04 | 1.8x | 72 | 49% |
| ROC 모멘텀 n=136, threshold=0.14 |
1.8% | -32.9% | 0.19 | 0.06 | 1.6x | 90 | 20% |
| ADX / DI 방향성 period=39, threshold=32 |
0.6% | -14.5% | 0.17 | 0.04 | 1.2x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=9, mult=3.5 |
0.4% | -37.0% | 0.10 | 0.01 | 1.1x | 62 | 13% |
| Supertrend period=13, mult=4.5 |
-1.0% | -73.1% | 0.04 | -0.01 | 0.8x | 113 | 50% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-3.4% | -81.4% | -0.09 | -0.04 | 0.4x | 327 | 49% |
| MACD fast=10, slow=49, signal=19 |
-5.5% | -83.1% | -0.20 | -0.07 | 0.2x | 353 | 50% |
| Buy and hold | 0.4% | -87.2% | 0.15 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 92 days
- Sell — Sell when price breaks below the lowest low of the last 17 days