Trend-Following Backtester · Guide · backtest 한국어
equity · JP
SHIMAMURA Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of SHIMAMURA Co., Ltd.. 3 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 1.6%, MDD -11.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.2%, drawdown -73.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -11.1%, Sharpe 0.32, 3% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 2.5%, MDD -25.9%, exposure 11%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 61.9%p (CAGR 1.6%, MDD -11.1%, exposure 3%).
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=20, threshold=38 |
1.6% | -11.1% | 0.32 | 0.14 | 1.5x | 14 | 3% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=10, mult=3.6 |
2.5% | -25.9% | 0.30 | 0.10 | 1.9x | 40 | 11% |
| SMA 크로스오버 fast=36, slow=183 |
1.9% | -62.6% | 0.20 | 0.03 | 1.6x | 44 | 54% |
| Donchian 채널 돌파 entryN=78, exitN=79 |
0.0% | -78.1% | 0.10 | 0.00 | 1.0x | 43 | 51% |
| EMA 크로스오버 fast=33, slow=176 |
-1.6% | -68.5% | 0.09 | -0.02 | 0.7x | 46 | 54% |
| Supertrend period=11, mult=5 |
-2.3% | -82.7% | 0.01 | -0.03 | 0.6x | 101 | 54% |
| ROC 모멘텀 n=111, threshold=0.02 |
-3.5% | -78.7% | -0.09 | -0.04 | 0.4x | 246 | 47% |
| 볼린저 밴드 돌파 n=51, k=2.5 |
-2.2% | -64.0% | -0.09 | -0.03 | 0.6x | 81 | 24% |
| MACD fast=14, slow=57, signal=20 |
-7.6% | -88.5% | -0.17 | -0.09 | 0.1x | 273 | 52% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-9.9% | -94.9% | -0.27 | -0.10 | 0.1x | 337 | 51% |
| Buy and hold | 0.2% | -73.0% | 0.20 | 0.00 | 1.1x | 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, 20-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)