Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Future Corporation backtest
10 trend-following strategies were compared on the full daily history of Future Corporation. 0 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 4.6%, MDD -24.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.7%, drawdown -84.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -24.6%, Sharpe 0.41, 10% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.7%, MDD -55.1%, exposure 58%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 59.8%p (CAGR 4.6%, MDD -24.6%, exposure 10%).
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=21, threshold=28 |
4.6% | -24.6% | 0.41 | 0.19 | 2.9x | 43 | 10% |
| EMA 크로스오버 fast=58, slow=205 |
4.7% | -55.1% | 0.30 | 0.08 | 3.0x | 31 | 58% |
| SMA 크로스오버 fast=67, slow=118 |
4.6% | -56.6% | 0.30 | 0.08 | 3.0x | 59 | 53% |
| Donchian 채널 돌파 entryN=94, exitN=19 |
2.0% | -53.4% | 0.20 | 0.04 | 1.6x | 67 | 24% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
1.0% | -21.8% | 0.19 | 0.05 | 1.3x | 14 | 2% |
| ROC 모멘텀 n=74, threshold=-0.03 |
-1.0% | -79.6% | 0.11 | -0.01 | 0.8x | 289 | 59% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-2.6% | -78.7% | 0.04 | -0.03 | 0.5x | 371 | 50% |
| Supertrend period=23, mult=4 |
-2.4% | -74.2% | 0.03 | -0.03 | 0.6x | 135 | 47% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=20, mult=3.3 |
-1.2% | -65.8% | 0.03 | -0.02 | 0.7x | 91 | 24% |
| MACD fast=17, slow=48, signal=10 |
-4.1% | -81.7% | -0.01 | -0.05 | 0.4x | 341 | 52% |
| Buy and hold | 4.7% | -84.4% | 0.32 | 0.06 | 3.0x | 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, 21-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)