Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kintetsu Group Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kintetsu Group Holdings Co., Ltd.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.2%, MDD -17.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.1%, drawdown -58.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.2%, MDD -17.2%, Sharpe 0.24, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 1.2%, MDD -17.2%, exposure 4%).
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=33, threshold=28 |
1.2% | -17.2% | 0.24 | 0.07 | 1.4x | 16 | 4% |
| SMA 크로스오버 fast=42, slow=210 |
1.1% | -47.5% | 0.15 | 0.02 | 1.3x | 37 | 45% |
| 볼린저 밴드 돌파 n=29, k=3 |
0.7% | -24.6% | 0.13 | 0.03 | 1.2x | 38 | 9% |
| Donchian 채널 돌파 entryN=16, exitN=73 |
-0.8% | -55.1% | 0.07 | -0.01 | 0.8x | 83 | 79% |
| EMA 크로스오버 fast=19, slow=182 |
-0.2% | -45.8% | 0.06 | -0.00 | 0.9x | 55 | 43% |
| ROC 모멘텀 n=132, threshold=0.23 |
-0.7% | -41.3% | -0.04 | -0.02 | 0.8x | 78 | 9% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.0% | -69.9% | -0.10 | -0.04 | 0.5x | 197 | 50% |
| Supertrend period=12, mult=4.3 |
-3.1% | -70.1% | -0.11 | -0.04 | 0.5x | 122 | 48% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=19, mult=3.2 |
-2.4% | -57.5% | -0.16 | -0.04 | 0.5x | 88 | 19% |
| MACD fast=10, slow=38, signal=18 |
-4.3% | -75.7% | -0.18 | -0.06 | 0.3x | 359 | 52% |
| Buy and hold | -1.1% | -58.6% | 0.07 | -0.02 | 0.7x | 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, 33-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)