Trend-Following Backtester · Guide · backtest 한국어
equity · JP
East Japan Railway Company backtest
10 trend-following strategies were compared on the full daily history of East Japan Railway Company. 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 2.5%, drawdown -58.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.2%, MDD -8.4%, Sharpe 0.33, 1% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 1.2%, MDD -55.0%, exposure 52%.
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=27, threshold=36 |
1.2% | -8.4% | 0.33 | 0.14 | 1.4x | 4 | 1% |
| EMA 크로스오버 fast=101, slow=184 |
1.2% | -55.0% | 0.16 | 0.02 | 1.4x | 32 | 52% |
| SMA 크로스오버 fast=52, slow=218 |
1.1% | -55.0% | 0.15 | 0.02 | 1.4x | 42 | 50% |
| 볼린저 밴드 돌파 n=12, k=2.9 |
0.2% | -7.8% | 0.10 | 0.03 | 1.1x | 10 | 1% |
| Donchian 채널 돌파 entryN=55, exitN=60 |
-1.3% | -64.7% | 0.02 | -0.02 | 0.7x | 61 | 57% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=27, mult=4 |
-0.8% | -42.5% | -0.02 | -0.02 | 0.8x | 52 | 21% |
| ROC 모멘텀 n=108, threshold=0.14 |
-1.4% | -40.7% | -0.09 | -0.03 | 0.7x | 156 | 15% |
| Supertrend period=12, mult=3.3 |
-3.8% | -75.6% | -0.14 | -0.05 | 0.4x | 182 | 52% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-5.0% | -79.5% | -0.22 | -0.06 | 0.3x | 214 | 51% |
| MACD fast=16, slow=34, signal=22 |
-5.4% | -85.8% | -0.24 | -0.06 | 0.2x | 305 | 51% |
| Buy and hold | 2.5% | -58.3% | 0.23 | 0.04 | 1.9x | 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, 27-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)