Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Shimizu Corporation backtest
10 trend-following strategies were compared on the full daily history of Shimizu Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -75.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -33.9%, Sharpe 0.42, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.3%, MDD -71.3%, exposure 53%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=29, threshold=24 |
3.9% | -33.9% | 0.42 | 0.12 | 2.8x | 38 | 10% |
| SMA 크로스오버 fast=47, slow=151 |
7.3% | -71.3% | 0.42 | 0.10 | 6.6x | 42 | 53% |
| EMA 크로스오버 fast=44, slow=264 |
5.8% | -67.7% | 0.36 | 0.09 | 4.5x | 27 | 51% |
| Donchian 채널 돌파 entryN=107, exitN=39 |
4.6% | -56.3% | 0.33 | 0.08 | 3.3x | 50 | 36% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
2.2% | -35.7% | 0.29 | 0.06 | 1.8x | 22 | 9% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=28, mult=3.7 |
3.1% | -50.9% | 0.29 | 0.06 | 2.3x | 64 | 21% |
| ROC 모멘텀 n=143, threshold=0.08 |
3.4% | -66.9% | 0.26 | 0.05 | 2.4x | 202 | 41% |
| Supertrend period=32, mult=4.1 |
-0.5% | -79.6% | 0.10 | -0.01 | 0.9x | 140 | 52% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.5% | -82.7% | 0.06 | -0.02 | 0.7x | 228 | 51% |
| MACD fast=19, slow=23, signal=18 |
-3.2% | -86.0% | -0.02 | -0.04 | 0.4x | 346 | 50% |
| Buy and hold | 7.6% | -75.9% | 0.39 | 0.10 | 7.0x | 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, 29-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)