Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Awa Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Awa Bank, Ltd.. 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 5.5%, drawdown -60.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -11.8%, Sharpe 0.54, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.2%, MDD -57.1%, exposure 50%.
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=43, threshold=22 |
3.3% | -11.8% | 0.54 | 0.28 | 2.3x | 3 | 3% |
| SMA 크로스오버 fast=48, slow=171 |
4.2% | -57.1% | 0.31 | 0.07 | 2.9x | 53 | 50% |
| Donchian 채널 돌파 entryN=108, exitN=55 |
1.7% | -54.1% | 0.18 | 0.03 | 1.5x | 39 | 38% |
| EMA 크로스오버 fast=55, slow=192 |
0.5% | -79.7% | 0.12 | 0.01 | 1.1x | 49 | 48% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
-0.1% | -12.8% | 0.00 | -0.01 | 1.0x | 10 | 3% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=23, mult=3.7 |
-0.2% | -20.3% | -0.02 | -0.01 | 0.9x | 14 | 2% |
| Supertrend period=8, mult=4.9 |
-2.7% | -86.5% | -0.05 | -0.03 | 0.5x | 95 | 48% |
| ROC 모멘텀 n=136, threshold=0.14 |
-1.7% | -79.9% | -0.08 | -0.02 | 0.6x | 191 | 17% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-7.2% | -95.6% | -0.31 | -0.08 | 0.1x | 211 | 52% |
| MACD fast=18, slow=29, signal=15 |
-10.7% | -97.6% | -0.53 | -0.11 | 0.1x | 381 | 51% |
| Buy and hold | 5.5% | -60.3% | 0.33 | 0.09 | 4.0x | 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, 43-day) is ≥ 22
- Sell — Sell when direction flips or the trend weakens (ADX < 22)