Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Kaori Heat Treatment Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kaori Heat Treatment Co., Ltd.. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 28.0%, MDD -50.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 27.1%, drawdown -67.3%).
Sharpe leader (same as main): MACD — CAGR 28.0%, MDD -50.8%, Sharpe 0.90, 51% exposure.
Return/drawdown alternative: MACD — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 16.5%p (CAGR 28.0%, MDD -50.8%, exposure 51%).
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=13, slow=42, signal=11 |
28.0% | -50.8% | 0.90 | 0.55 | 100.9x | 241 | 51% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=20, mult=2.1 |
19.4% | -42.7% | 0.84 | 0.45 | 27.4x | 106 | 21% |
| Parabolic SAR step=0.01, maxStep=0.12 |
25.4% | -58.9% | 0.83 | 0.43 | 68.0x | 213 | 50% |
| Supertrend period=26, mult=2.8 |
25.1% | -45.9% | 0.82 | 0.55 | 65.0x | 149 | 51% |
| 볼린저 밴드 돌파 n=59, k=1.9 |
23.3% | -50.7% | 0.81 | 0.46 | 49.8x | 62 | 36% |
| Donchian 채널 돌파 entryN=50, exitN=34 |
23.8% | -60.0% | 0.80 | 0.40 | 53.7x | 46 | 42% |
| ADX / DI 방향성 period=11, threshold=16 |
24.6% | -57.1% | 0.79 | 0.43 | 60.5x | 333 | 54% |
| SMA 크로스오버 fast=20, slow=150 |
24.3% | -56.3% | 0.76 | 0.43 | 57.7x | 33 | 53% |
| EMA 크로스오버 fast=38, slow=141 |
23.7% | -60.9% | 0.74 | 0.39 | 52.7x | 29 | 54% |
| ROC 모멘텀 n=79, threshold=0.05 |
21.0% | -59.1% | 0.71 | 0.35 | 34.8x | 145 | 47% |
| Buy and hold | 27.1% | -67.3% | 0.75 | 0.40 | 87.8x | 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 (13/42) crosses above its 11-day signal line
- Sell — Sell when the MACD line crosses back below the signal line