Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kamigumi Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Kamigumi Co., Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.3%, drawdown -46.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -17.9%, Sharpe 0.37, 6% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.2%, MDD -46.6%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=28 |
1.7% | -17.9% | 0.37 | 0.10 | 1.6x | 14 | 6% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.14 |
6.2% | -46.6% | 0.36 | 0.13 | 4.7x | 3 | 100% |
| EMA 크로스오버 fast=64, slow=280 |
3.6% | -46.8% | 0.29 | 0.08 | 2.5x | 23 | 64% |
| SMA 크로스오버 fast=50, slow=193 |
3.2% | -51.3% | 0.26 | 0.06 | 2.2x | 44 | 58% |
| 볼린저 밴드 돌파 n=52, k=3.3 |
1.1% | -31.4% | 0.17 | 0.04 | 1.3x | 30 | 14% |
| Donchian 채널 돌파 entryN=12, exitN=42 |
-1.9% | -81.1% | 0.02 | -0.02 | 0.6x | 121 | 77% |
| Supertrend period=12, mult=4.3 |
-1.5% | -75.2% | 0.01 | -0.02 | 0.7x | 99 | 54% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=21, mult=4 |
-0.2% | -47.8% | 0.01 | -0.01 | 0.9x | 34 | 13% |
| Parabolic SAR step=0.025, maxStep=0.04 |
-5.1% | -85.1% | -0.19 | -0.06 | 0.3x | 310 | 57% |
| MACD fast=17, slow=41, signal=19 |
-6.1% | -87.8% | -0.25 | -0.07 | 0.2x | 308 | 50% |
| Buy and hold | 6.3% | -46.6% | 0.36 | 0.13 | 4.8x | 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, 27-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)