Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daiichi Sankyo Company, Limited backtest
10 trend-following strategies were compared on the full daily history of Daiichi Sankyo Company, Limited. 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 6.9%, drawdown -70.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.5%, MDD -30.3%, Sharpe 0.38, 10% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.4%, MDD -53.7%, exposure 54%.
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=15, threshold=32 |
3.5% | -30.3% | 0.38 | 0.12 | 2.5x | 66 | 10% |
| EMA 크로스오버 fast=57, slow=178 |
4.4% | -53.7% | 0.30 | 0.08 | 3.2x | 36 | 54% |
| SMA 크로스오버 fast=45, slow=207 |
2.7% | -54.8% | 0.23 | 0.05 | 2.0x | 46 | 52% |
| Donchian 채널 돌파 entryN=50, exitN=85 |
2.6% | -65.6% | 0.23 | 0.04 | 2.0x | 51 | 60% |
| ROC 모멘텀 n=200, threshold=0.16 |
2.3% | -51.6% | 0.22 | 0.04 | 1.8x | 112 | 32% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=13, mult=4 |
0.3% | -5.3% | 0.19 | 0.07 | 1.1x | 2 | 0% |
| 볼린저 밴드 돌파 n=51, k=2.8 |
1.3% | -49.4% | 0.16 | 0.03 | 1.4x | 54 | 18% |
| Supertrend period=16, mult=4.7 |
-0.9% | -86.4% | 0.07 | -0.01 | 0.8x | 114 | 53% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-3.0% | -79.4% | -0.02 | -0.04 | 0.5x | 397 | 53% |
| MACD fast=8, slow=42, signal=14 |
-3.7% | -86.7% | -0.06 | -0.04 | 0.4x | 451 | 52% |
| Buy and hold | 6.9% | -70.3% | 0.37 | 0.10 | 5.8x | 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, 15-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)