Trend-Following Backtester · Guide · backtest 한국어
equity · JP
LY Corporation backtest
10 trend-following strategies were compared on the full daily history of LY Corporation. 6 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 1.1%, MDD -8.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.4%, drawdown -75.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.1%, MDD -8.1%, Sharpe 0.32, 1% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 2.2%, MDD -28.8%, exposure 8%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 67.6%p (CAGR 1.1%, MDD -8.1%, exposure 1%).
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=39 |
1.1% | -8.1% | 0.32 | 0.13 | 1.3x | 2 | 1% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
2.2% | -28.8% | 0.25 | 0.08 | 1.6x | 16 | 8% |
| Donchian 채널 돌파 entryN=28, exitN=29 |
1.0% | -71.1% | 0.17 | 0.01 | 1.3x | 89 | 50% |
| EMA 크로스오버 fast=28, slow=31 |
0.3% | -79.3% | 0.14 | 0.00 | 1.1x | 113 | 49% |
| SMA 크로스오버 fast=9, slow=190 |
0.3% | -65.1% | 0.14 | 0.00 | 1.1x | 63 | 44% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=23, mult=3.8 |
-0.1% | -46.1% | 0.08 | -0.00 | 1.0x | 52 | 16% |
| Supertrend period=10, mult=3.4 |
-2.0% | -87.5% | 0.05 | -0.02 | 0.6x | 151 | 49% |
| Parabolic SAR step=0.02, maxStep=0.1 |
-2.9% | -87.6% | 0.01 | -0.03 | 0.5x | 397 | 48% |
| MACD fast=30, slow=49, signal=19 |
-3.5% | -81.6% | -0.01 | -0.04 | 0.4x | 201 | 50% |
| ROC 모멘텀 n=140, threshold=-0.03 |
-4.0% | -78.5% | -0.02 | -0.05 | 0.4x | 217 | 50% |
| Buy and hold | -0.4% | -75.6% | 0.17 | -0.01 | 0.9x | 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, 29-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)