Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TOKYU CORPORATION backtest
10 trend-following strategies were compared on the full daily history of TOKYU CORPORATION. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.4%, MDD -55.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -70.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -9.5%, Sharpe 0.31, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.4%, MDD -55.6%, exposure 83%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.4%p lower than buy and hold, while drawdown improves by 60.6%p (CAGR 4.4%, MDD -55.6%, exposure 83%).
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=34, threshold=35 |
1.5% | -9.5% | 0.31 | 0.16 | 1.5x | 4 | 2% |
| Donchian 채널 돌파 entryN=11, exitN=71 |
4.4% | -55.6% | 0.30 | 0.08 | 3.1x | 93 | 83% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=12, mult=4 |
2.0% | -28.1% | 0.23 | 0.07 | 1.7x | 36 | 6% |
| 볼린저 밴드 돌파 n=47, k=1.5 |
2.2% | -47.0% | 0.21 | 0.05 | 1.8x | 145 | 36% |
| Supertrend period=24, mult=4.7 |
1.4% | -76.5% | 0.17 | 0.02 | 1.5x | 105 | 53% |
| EMA 크로스오버 fast=67, slow=188 |
0.6% | -51.5% | 0.13 | 0.01 | 1.2x | 38 | 54% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.5% | -62.3% | 0.13 | 0.01 | 1.1x | 211 | 52% |
| MACD fast=14, slow=53, signal=20 |
-0.8% | -53.3% | 0.05 | -0.02 | 0.8x | 289 | 51% |
| SMA 크로스오버 fast=36, slow=178 |
-1.2% | -66.4% | 0.04 | -0.02 | 0.7x | 54 | 54% |
| ROC 모멘텀 n=90, threshold=0.12 |
-0.8% | -57.6% | 0.02 | -0.01 | 0.8x | 222 | 21% |
| Buy and hold | 4.9% | -70.1% | 0.31 | 0.07 | 3.5x | 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, 34-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)