Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nikon Corp. backtest
10 trend-following strategies were compared on the full daily history of Nikon Corp.. 8 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 3.9%, MDD -27.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.8%, drawdown -85.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -27.4%, Sharpe 0.35, 14% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 58.3%p (CAGR 3.9%, MDD -27.4%, exposure 14%).
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=15, threshold=28 |
3.9% | -27.4% | 0.35 | 0.14 | 2.8x | 106 | 14% |
| 볼린저 밴드 돌파 n=33, k=3.1 |
1.2% | -29.9% | 0.17 | 0.04 | 1.4x | 32 | 8% |
| SMA 크로스오버 fast=18, slow=172 |
0.8% | -77.4% | 0.16 | 0.01 | 1.2x | 63 | 49% |
| EMA 크로스오버 fast=26, slow=151 |
0.8% | -78.9% | 0.16 | 0.01 | 1.2x | 51 | 49% |
| Donchian 채널 돌파 entryN=70, exitN=16 |
0.8% | -51.7% | 0.14 | 0.01 | 1.2x | 88 | 27% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=3 |
0.4% | -61.8% | 0.12 | 0.01 | 1.1x | 98 | 29% |
| ROC 모멘텀 n=119, threshold=-0.08 |
-1.0% | -73.5% | 0.11 | -0.01 | 0.8x | 203 | 63% |
| Supertrend period=23, mult=4.1 |
-0.9% | -64.6% | 0.10 | -0.01 | 0.8x | 134 | 50% |
| MACD fast=19, slow=59, signal=19 |
-2.0% | -70.2% | 0.06 | -0.03 | 0.6x | 260 | 53% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-4.1% | -78.9% | -0.02 | -0.05 | 0.3x | 344 | 50% |
| Buy and hold | -1.8% | -85.7% | 0.16 | -0.02 | 0.6x | 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, 15-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)