Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sega Sammy Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Sega Sammy Holdings Inc.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.5%, MDD -50.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.4%, drawdown -87.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.9%, MDD -29.9%, Sharpe 0.31, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.3%, MDD -69.7%, exposure 49%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.5%p lower than buy and hold, while drawdown improves by 57.5%p (CAGR 8.5%, MDD -50.5%, exposure 50%).
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=26 |
2.9% | -29.9% | 0.31 | 0.10 | 2.1x | 24 | 8% |
| Supertrend period=5, mult=4.3 |
9.3% | -75.8% | 0.31 | 0.12 | 9.7x | 117 | 55% |
| SMA 크로스오버 fast=18, slow=78 |
9.3% | -69.7% | 0.30 | 0.13 | 9.8x | 87 | 49% |
| EMA 크로스오버 fast=16, slow=146 |
8.5% | -50.5% | 0.29 | 0.17 | 8.1x | 63 | 50% |
| Donchian 채널 돌파 entryN=16, exitN=35 |
7.4% | -73.0% | 0.28 | 0.10 | 6.2x | 119 | 64% |
| ROC 모멘텀 n=52, threshold=0.04 |
8.0% | -70.2% | 0.28 | 0.11 | 7.2x | 275 | 41% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=1 |
7.8% | -66.3% | 0.27 | 0.12 | 6.8x | 201 | 44% |
| 볼린저 밴드 돌파 n=46, k=1.6 |
3.4% | -61.2% | 0.27 | 0.06 | 2.4x | 125 | 37% |
| Parabolic SAR step=0.04, maxStep=0.28 |
-4.1% | -94.4% | 0.08 | -0.04 | 0.3x | 779 | 50% |
| MACD fast=7, slow=37, signal=5 |
-4.1% | -93.3% | 0.08 | -0.04 | 0.3x | 689 | 51% |
| Buy and hold | 6.4% | -87.5% | 0.29 | 0.07 | 4.9x | 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 ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)