Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nagoya Railroad Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nagoya Railroad Co., Ltd.. 0 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 0.7%, MDD -11.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 0.9%, drawdown -58.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.7%, MDD -11.6%, Sharpe 0.19, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 46.5%p (CAGR 0.7%, MDD -11.6%, exposure 2%).
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=38 |
0.7% | -11.6% | 0.19 | 0.06 | 1.2x | 16 | 2% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
0.7% | -11.6% | 0.16 | 0.06 | 1.2x | 18 | 5% |
| EMA 크로스오버 fast=19, slow=182 |
0.4% | -47.7% | 0.10 | 0.01 | 1.1x | 55 | 48% |
| Donchian 채널 돌파 entryN=84, exitN=76 |
-0.1% | -46.4% | 0.06 | -0.00 | 1.0x | 41 | 47% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=27, mult=3.5 |
0.2% | -21.4% | 0.06 | 0.01 | 1.0x | 32 | 5% |
| SMA 크로스오버 fast=22, slow=209 |
-0.2% | -46.1% | 0.05 | -0.00 | 1.0x | 47 | 47% |
| Supertrend period=23, mult=4.1 |
-3.1% | -64.4% | -0.15 | -0.05 | 0.4x | 119 | 48% |
| ROC 모멘텀 n=147, threshold=0.01 |
-3.0% | -67.7% | -0.16 | -0.04 | 0.5x | 237 | 44% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-4.5% | -71.8% | -0.26 | -0.06 | 0.3x | 311 | 51% |
| MACD fast=16, slow=45, signal=13 |
-6.8% | -85.2% | -0.43 | -0.08 | 0.2x | 353 | 51% |
| Buy and hold | 0.9% | -58.0% | 0.14 | 0.02 | 1.2x | 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 ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)