Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Seibu Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Seibu Holdings, Inc.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.7%, MDD -31.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.5%, drawdown -74.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -12.6%, Sharpe 0.50, 7% exposure.
CAGR reference leader: Supertrend — CAGR 6.8%, MDD -66.3%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 62.1%p (CAGR 4.7%, MDD -31.5%, exposure 15%).
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=32, threshold=27 |
3.2% | -12.6% | 0.50 | 0.25 | 1.5x | 6 | 7% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=35, mult=3.4 |
4.7% | -31.5% | 0.43 | 0.15 | 1.8x | 32 | 15% |
| ROC 모멘텀 n=80, threshold=0.25 |
4.2% | -22.5% | 0.43 | 0.19 | 1.7x | 42 | 11% |
| Supertrend period=14, mult=1.8 |
6.8% | -66.3% | 0.42 | 0.10 | 2.3x | 174 | 49% |
| Donchian 채널 돌파 entryN=62, exitN=88 |
5.5% | -52.9% | 0.35 | 0.10 | 1.9x | 18 | 56% |
| EMA 크로스오버 fast=39, slow=103 |
5.2% | -55.1% | 0.34 | 0.09 | 1.9x | 24 | 52% |
| SMA 크로스오버 fast=22, slow=172 |
4.2% | -57.2% | 0.30 | 0.07 | 1.7x | 22 | 52% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
1.7% | -9.5% | 0.30 | 0.18 | 1.2x | 6 | 4% |
| MACD fast=14, slow=37, signal=9 |
3.8% | -59.7% | 0.28 | 0.06 | 1.6x | 182 | 49% |
| Parabolic SAR step=0.025, maxStep=0.2 |
2.1% | -72.6% | 0.21 | 0.03 | 1.3x | 297 | 49% |
| Buy and hold | 5.5% | -74.8% | 0.33 | 0.07 | 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, 32-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)