Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Seino Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Seino Holdings Co., Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.6%, MDD -42.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -73.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.9%, MDD -21.8%, Sharpe 0.43, 14% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.6%, MDD -42.2%, exposure 53%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.0%p lower than buy and hold, while drawdown improves by 51.4%p (CAGR 6.6%, MDD -42.2%, exposure 53%).
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=24 |
4.9% | -21.8% | 0.43 | 0.22 | 3.4x | 42 | 14% |
| EMA 크로스오버 fast=21, slow=76 |
6.6% | -42.2% | 0.41 | 0.16 | 5.2x | 83 | 53% |
| Donchian 채널 돌파 entryN=67, exitN=67 |
6.0% | -46.6% | 0.39 | 0.13 | 4.5x | 41 | 52% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=26, mult=3.9 |
3.5% | -26.3% | 0.37 | 0.13 | 2.4x | 40 | 11% |
| SMA 크로스오버 fast=30, slow=225 |
5.5% | -48.5% | 0.37 | 0.11 | 4.0x | 39 | 54% |
| 볼린저 밴드 돌파 n=64, k=2.2 |
4.8% | -45.6% | 0.37 | 0.10 | 3.3x | 71 | 31% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.4% | -74.6% | 0.17 | 0.02 | 1.4x | 340 | 51% |
| ROC 모멘텀 n=72, threshold=0.13 |
1.1% | -56.2% | 0.15 | 0.02 | 1.3x | 210 | 21% |
| MACD fast=15, slow=39, signal=21 |
0.3% | -65.4% | 0.12 | 0.00 | 1.1x | 282 | 49% |
| Supertrend period=21, mult=4.5 |
-0.0% | -70.7% | 0.11 | -0.00 | 1.0x | 109 | 52% |
| Buy and hold | 6.9% | -73.2% | 0.37 | 0.09 | 5.4x | 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 ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)