Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Central Japan Railway Company backtest
10 trend-following strategies were compared on the full daily history of Central Japan Railway Company. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -31.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.1%, drawdown -66.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -12.1%, Sharpe 0.40, 3% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 3.4%, MDD -31.4%, exposure 20%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 54.4%p (CAGR 3.4%, MDD -31.4%, exposure 20%).
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=22, threshold=35 |
1.8% | -12.1% | 0.40 | 0.15 | 1.6x | 14 | 3% |
| 볼린저 밴드 돌파 n=47, k=2.6 |
3.4% | -31.4% | 0.35 | 0.11 | 2.4x | 59 | 20% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=28, mult=3.6 |
2.0% | -41.5% | 0.23 | 0.05 | 1.6x | 61 | 18% |
| Donchian 채널 돌파 entryN=84, exitN=24 |
1.7% | -41.6% | 0.20 | 0.04 | 1.5x | 64 | 26% |
| SMA 크로스오버 fast=30, slow=228 |
1.9% | -52.6% | 0.20 | 0.04 | 1.6x | 46 | 52% |
| EMA 크로스오버 fast=47, slow=152 |
1.6% | -51.5% | 0.18 | 0.03 | 1.5x | 50 | 52% |
| ROC 모멘텀 n=127, threshold=0.13 |
0.5% | -52.3% | 0.11 | 0.01 | 1.2x | 172 | 21% |
| MACD fast=31, slow=36, signal=17 |
-0.2% | -59.1% | 0.08 | -0.00 | 1.0x | 253 | 52% |
| Supertrend period=17, mult=3.5 |
-0.4% | -64.5% | 0.07 | -0.01 | 0.9x | 145 | 53% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.1% | -60.6% | 0.03 | -0.02 | 0.7x | 207 | 53% |
| Buy and hold | 4.1% | -66.5% | 0.29 | 0.06 | 2.8x | 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, 22-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)