Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Subaru Corporation backtest
10 trend-following strategies were compared on the full daily history of Subaru 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 5.2%, drawdown -75.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.9%, MDD -24.5%, Sharpe 0.43, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.6%, MDD -73.3%, exposure 82%.
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=39, threshold=28 |
2.9% | -24.5% | 0.43 | 0.12 | 2.1x | 2 | 2% |
| Donchian 채널 돌파 entryN=13, exitN=71 |
4.6% | -73.3% | 0.30 | 0.06 | 3.4x | 89 | 82% |
| SMA 크로스오버 fast=47, slow=173 |
3.9% | -60.1% | 0.28 | 0.06 | 2.7x | 46 | 50% |
| EMA 크로스오버 fast=42, slow=117 |
1.9% | -60.4% | 0.20 | 0.03 | 1.7x | 62 | 49% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
1.8% | -53.3% | 0.19 | 0.03 | 1.6x | 118 | 33% |
| MACD fast=24, slow=40, signal=16 |
-0.6% | -80.4% | 0.10 | -0.01 | 0.9x | 290 | 51% |
| ROC 모멘텀 n=58, threshold=0.14 |
-0.2% | -72.2% | 0.08 | -0.00 | 1.0x | 272 | 21% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=21, mult=3.4 |
-0.5% | -62.5% | 0.06 | -0.01 | 0.9x | 90 | 23% |
| Supertrend period=22, mult=4 |
-3.1% | -84.4% | -0.00 | -0.04 | 0.4x | 160 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-5.5% | -93.1% | -0.10 | -0.06 | 0.2x | 235 | 53% |
| Buy and hold | 5.2% | -75.8% | 0.32 | 0.07 | 3.8x | 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, 39-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)