Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Namura Shipbuilding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Namura Shipbuilding Co., Ltd.. 9 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 23.0%, MDD -58.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 14.9%, drawdown -94.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.0%, MDD -58.7%, Sharpe 0.72, 39% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR 23.0%, MDD -58.7%, exposure 39%).
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=24, threshold=16 |
23.0% | -58.7% | 0.72 | 0.39 | 237.9x | 191 | 39% |
| SMA 크로스오버 fast=32, slow=108 |
22.4% | -71.1% | 0.68 | 0.31 | 207.1x | 59 | 50% |
| Supertrend period=15, mult=4.7 |
21.7% | -83.4% | 0.67 | 0.26 | 178.8x | 91 | 52% |
| Donchian 채널 돌파 entryN=21, exitN=20 |
21.6% | -78.7% | 0.67 | 0.28 | 176.8x | 139 | 50% |
| ROC 모멘텀 n=86, threshold=-0.03 |
22.1% | -85.1% | 0.66 | 0.26 | 193.6x | 199 | 57% |
| EMA 크로스오버 fast=47, slow=49 |
20.0% | -79.6% | 0.63 | 0.25 | 123.5x | 67 | 50% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=1.5 |
17.8% | -79.4% | 0.61 | 0.22 | 75.5x | 167 | 40% |
| 볼린저 밴드 돌파 n=55, k=0.7 |
17.6% | -86.9% | 0.60 | 0.20 | 71.7x | 171 | 44% |
| Parabolic SAR step=0.015, maxStep=0.12 |
16.4% | -73.3% | 0.57 | 0.22 | 55.1x | 383 | 49% |
| MACD fast=5, slow=28, signal=17 |
11.4% | -86.5% | 0.46 | 0.13 | 17.5x | 527 | 53% |
| Buy and hold | 14.9% | -94.1% | 0.53 | 0.16 | 39.5x | 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, 24-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)