Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Aisin Corporation backtest
10 trend-following strategies were compared on the full daily history of Aisin Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.9%, drawdown -78.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.1%, MDD -9.1%, Sharpe 0.42, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.3%, MDD -70.2%, exposure 60%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=26, threshold=33 |
2.1% | -9.1% | 0.42 | 0.23 | 1.7x | 8 | 3% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
2.2% | -30.9% | 0.30 | 0.07 | 1.8x | 16 | 8% |
| Donchian 채널 돌파 entryN=32, exitN=44 |
3.3% | -70.2% | 0.26 | 0.05 | 2.3x | 87 | 60% |
| ROC 모멘텀 n=53, threshold=-0.05 |
3.1% | -58.1% | 0.25 | 0.05 | 2.2x | 299 | 69% |
| SMA 크로스오버 fast=59, slow=106 |
3.0% | -57.6% | 0.24 | 0.05 | 2.1x | 64 | 55% |
| Supertrend period=29, mult=4.7 |
1.6% | -70.4% | 0.19 | 0.02 | 1.5x | 98 | 52% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=1.5 |
1.3% | -66.9% | 0.17 | 0.02 | 1.4x | 175 | 43% |
| EMA 크로스오버 fast=29, slow=65 |
1.1% | -70.2% | 0.16 | 0.02 | 1.3x | 90 | 56% |
| MACD fast=19, slow=31, signal=15 |
-3.6% | -73.3% | -0.03 | -0.05 | 0.4x | 347 | 52% |
| Parabolic SAR step=0.03, maxStep=0.08 |
-4.6% | -76.0% | -0.09 | -0.06 | 0.3x | 501 | 53% |
| Buy and hold | 5.9% | -78.3% | 0.34 | 0.08 | 4.3x | 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, 26-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)