Trend-Following Backtester · Guide · backtest 한국어

equity · JP

Ricoh Company, Ltd. backtest

10 trend-following strategies were compared on the full daily history of Ricoh Company, Ltd.. 1 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 1.5%, MDD -20.6%).

Data 1999-05-06 ~ 2026-07-31daily bars 6,805 (27.2 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 1.1%, drawdown -83.1%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -20.6%, Sharpe 0.23, 4% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 62.5%p (CAGR 1.5%, MDD -20.6%, exposure 4%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=18, threshold=32
1.5%-20.6%0.230.071.5x244%
ROC 모멘텀
n=28, threshold=0.24
0.7%-33.9%0.130.021.2x522%
Keltner 채널 돌파
emaPeriod=20, atrPeriod=18, mult=3.9
-0.1%-45.1%0.04-0.001.0x264%
SMA 크로스오버
fast=54, slow=110
-2.4%-79.5%0.02-0.030.5x7951%
EMA 크로스오버
fast=27, slow=96
-2.5%-76.6%0.00-0.030.5x7948%
Supertrend
period=17, mult=4.9
-3.1%-81.5%-0.01-0.040.4x10346%
볼린저 밴드 돌파
n=22, k=3.3
-0.5%-35.6%-0.05-0.010.9x224%
Donchian 채널 돌파
entryN=15, exitN=72
-5.7%-90.4%-0.05-0.060.2x10379%
Parabolic SAR
step=0.015, maxStep=0.16
-8.3%-95.0%-0.23-0.090.1x46351%
MACD
fast=18, slow=23, signal=13
-8.9%-93.5%-0.27-0.100.1x41951%
Buy and hold1.1%-83.1%0.210.011.3x1100%
1x 2000 2004 2008 2012 2016 2020 2024 ADX / DI 방향성Buy and hold
ADX / DI 방향성: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -62% -83% 2000 2004 2008 2012 2016 2020 2024 Buy and holdADX / DI 방향성
ADX / DI 방향성 maximum drawdown -20.6% (2003-08-20 → 2013-01-08), recovered after 6,406 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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