Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nittetsu Mining Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nittetsu Mining Co., Ltd.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 10.1%, MDD -58.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.6%, drawdown -81.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 8.0%, MDD -35.0%, Sharpe 0.51, 17% exposure.
CAGR reference leader: Supertrend — CAGR 10.6%, MDD -65.0%, exposure 52%.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 46.8%p (CAGR 10.1%, MDD -58.1%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=14, threshold=30 |
8.0% | -35.0% | 0.51 | 0.23 | 7.2x | 112 | 17% |
| Supertrend period=7, mult=4.4 |
10.6% | -65.0% | 0.50 | 0.16 | 13.2x | 105 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
10.1% | -58.1% | 0.49 | 0.17 | 11.7x | 193 | 51% |
| Donchian 채널 돌파 entryN=46, exitN=40 |
9.3% | -76.3% | 0.46 | 0.12 | 9.7x | 67 | 49% |
| 볼린저 밴드 돌파 n=31, k=2.5 |
7.4% | -56.8% | 0.44 | 0.13 | 6.3x | 116 | 25% |
| EMA 크로스오버 fast=39, slow=44 |
8.8% | -58.0% | 0.44 | 0.15 | 8.7x | 87 | 54% |
| ROC 모멘텀 n=152, threshold=-0.01 |
8.4% | -56.2% | 0.42 | 0.15 | 7.8x | 173 | 57% |
| SMA 크로스오버 fast=17, slow=110 |
8.1% | -58.0% | 0.41 | 0.14 | 7.3x | 82 | 53% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=28, mult=2.7 |
6.7% | -59.5% | 0.40 | 0.11 | 5.3x | 114 | 28% |
| MACD fast=15, slow=47, signal=16 |
6.9% | -57.5% | 0.38 | 0.12 | 5.5x | 311 | 52% |
| Buy and hold | 10.6% | -81.9% | 0.45 | 0.13 | 13.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 14-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)