Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Oriental Land Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Oriental Land Co., Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.3%, MDD -30.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.4%, drawdown -62.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -15.1%, Sharpe 0.58, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -50.5%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 47.5%p (CAGR 6.3%, MDD -30.5%, exposure 28%).
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=30, threshold=27 |
3.9% | -15.1% | 0.58 | 0.26 | 2.7x | 26 | 8% |
| Donchian 채널 돌파 entryN=120, exitN=21 |
6.3% | -30.5% | 0.57 | 0.21 | 4.8x | 51 | 28% |
| 볼린저 밴드 돌파 n=41, k=2.6 |
5.5% | -27.3% | 0.48 | 0.20 | 4.0x | 75 | 28% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=24, mult=3.7 |
5.5% | -32.9% | 0.47 | 0.17 | 3.9x | 63 | 34% |
| SMA 크로스오버 fast=21, slow=95 |
6.5% | -50.5% | 0.44 | 0.13 | 5.0x | 67 | 57% |
| EMA 크로스오버 fast=40, slow=48 |
5.7% | -51.6% | 0.40 | 0.11 | 4.1x | 79 | 57% |
| Supertrend period=18, mult=4.6 |
4.6% | -40.4% | 0.34 | 0.11 | 3.2x | 99 | 59% |
| Parabolic SAR step=0.005, maxStep=0.1 |
4.1% | -43.6% | 0.32 | 0.09 | 2.8x | 192 | 54% |
| ROC 모멘텀 n=122, threshold=0.11 |
3.3% | -40.4% | 0.30 | 0.08 | 2.3x | 138 | 33% |
| MACD fast=17, slow=46, signal=17 |
0.3% | -49.6% | 0.10 | 0.01 | 1.1x | 288 | 53% |
| Buy and hold | 8.4% | -62.7% | 0.45 | 0.13 | 7.9x | 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, 30-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)