Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tomen Devices Corp. backtest
10 trend-following strategies were compared on the full daily history of Tomen Devices Corp.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.4%, MDD -24.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.6%, drawdown -73.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.4%, MDD -24.0%, Sharpe 0.80, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.6%, MDD -39.0%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 49.4%p (CAGR 10.4%, MDD -24.0%, exposure 13%).
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=17, threshold=33 |
10.4% | -24.0% | 0.80 | 0.44 | 9.2x | 52 | 13% |
| SMA 크로스오버 fast=14, slow=62 |
12.6% | -39.0% | 0.61 | 0.32 | 14.3x | 95 | 52% |
| EMA 크로스오버 fast=19, slow=47 |
10.5% | -46.0% | 0.53 | 0.23 | 9.2x | 87 | 51% |
| Donchian 채널 돌파 entryN=72, exitN=55 |
10.3% | -50.1% | 0.53 | 0.21 | 8.9x | 37 | 45% |
| 볼린저 밴드 돌파 n=38, k=0.9 |
8.3% | -34.1% | 0.49 | 0.24 | 6.0x | 182 | 42% |
| Supertrend period=4, mult=5 |
8.1% | -51.6% | 0.44 | 0.16 | 5.7x | 95 | 52% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=23, mult=1.8 |
6.8% | -39.7% | 0.44 | 0.17 | 4.3x | 150 | 32% |
| ROC 모멘텀 n=137, threshold=0.02 |
7.2% | -52.0% | 0.40 | 0.14 | 4.7x | 161 | 49% |
| MACD fast=18, slow=41, signal=19 |
6.3% | -52.7% | 0.40 | 0.12 | 3.9x | 220 | 52% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.2% | -65.6% | 0.29 | 0.06 | 2.5x | 148 | 54% |
| Buy and hold | 10.6% | -73.4% | 0.48 | 0.14 | 9.5x | 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, 17-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)