Trend-Following Backtester · Guide · backtest 한국어
equity · JP
GMO Internet Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of GMO Internet Group, Inc.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.1%, MDD -62.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.2%, drawdown -92.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.5%, MDD -54.6%, Sharpe 0.40, 13% exposure.
CAGR reference leader: Supertrend — CAGR 7.5%, MDD -69.8%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 38.3%p (CAGR 7.1%, MDD -62.6%, exposure 41%).
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=11, threshold=37 |
5.5% | -54.6% | 0.40 | 0.10 | 3.3x | 90 | 13% |
| Supertrend period=6, mult=3.2 |
7.5% | -69.8% | 0.38 | 0.11 | 5.1x | 160 | 51% |
| 볼린저 밴드 돌파 n=22, k=1.1 |
7.1% | -62.6% | 0.38 | 0.11 | 4.6x | 286 | 41% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=20, mult=3.6 |
5.3% | -53.0% | 0.36 | 0.10 | 3.2x | 58 | 14% |
| Parabolic SAR step=0.06, maxStep=0.14 |
4.1% | -68.7% | 0.29 | 0.06 | 2.5x | 645 | 52% |
| MACD fast=15, slow=39, signal=15 |
3.7% | -72.1% | 0.27 | 0.05 | 2.3x | 282 | 49% |
| SMA 크로스오버 fast=58, slow=181 |
3.0% | -78.5% | 0.25 | 0.04 | 2.0x | 31 | 51% |
| Donchian 채널 돌파 entryN=89, exitN=50 |
3.1% | -57.9% | 0.25 | 0.05 | 2.0x | 39 | 38% |
| EMA 크로스오버 fast=11, slow=62 |
0.2% | -72.9% | 0.17 | 0.00 | 1.0x | 123 | 52% |
| ROC 모멘텀 n=124, threshold=0.11 |
-0.3% | -75.2% | 0.13 | -0.00 | 0.9x | 163 | 36% |
| Buy and hold | 7.2% | -92.9% | 0.39 | 0.08 | 4.7x | 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, 11-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)