Trend-Following Backtester · Guide · backtest 한국어
equity · JP
UACJ Corporation backtest
10 trend-following strategies were compared on the full daily history of UACJ Corporation. 3 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 -59.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.0%, drawdown -84.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.6%, MDD -59.6%, Sharpe 0.31, 34% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 4.6%, MDD -59.6%, exposure 34%).
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=41, threshold=11 |
4.6% | -59.6% | 0.31 | 0.08 | 2.5x | 108 | 34% |
| SMA 크로스오버 fast=47, slow=77 |
3.8% | -68.1% | 0.28 | 0.06 | 2.1x | 66 | 49% |
| Supertrend period=12, mult=4.3 |
3.4% | -67.1% | 0.26 | 0.05 | 2.0x | 88 | 54% |
| EMA 크로스오버 fast=49, slow=207 |
1.6% | -73.2% | 0.21 | 0.02 | 1.4x | 29 | 48% |
| Donchian 채널 돌파 entryN=36, exitN=71 |
-0.7% | -82.3% | 0.15 | -0.01 | 0.9x | 56 | 62% |
| 볼린저 밴드 돌파 n=55, k=1.1 |
-1.2% | -80.9% | 0.09 | -0.02 | 0.8x | 128 | 39% |
| MACD fast=13, slow=23, signal=14 |
-3.4% | -79.6% | 0.04 | -0.04 | 0.5x | 310 | 50% |
| ROC 모멘텀 n=57, threshold=-0.02 |
-3.7% | -86.9% | 0.03 | -0.04 | 0.5x | 292 | 53% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-4.8% | -83.1% | -0.01 | -0.06 | 0.4x | 372 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=2.7 |
-4.0% | -84.0% | -0.06 | -0.05 | 0.4x | 90 | 30% |
| Buy and hold | 2.0% | -84.6% | 0.27 | 0.02 | 1.5x | 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, 41-day) is ≥ 11
- Sell — Sell when direction flips or the trend weakens (ADX < 11)