Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tohoku Electric Power Company, Incorporated backtest
10 trend-following strategies were compared on the full daily history of Tohoku Electric Power Company, Incorporated. 8 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 2.4%, MDD -23.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.6%, drawdown -86.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.4%, MDD -23.9%, Sharpe 0.29, 7% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.8%, MDD -41.7%, exposure 43%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 62.5%p (CAGR 2.4%, MDD -23.9%, exposure 7%).
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 |
2.4% | -23.9% | 0.29 | 0.10 | 1.8x | 31 | 7% |
| Donchian 채널 돌파 entryN=91, exitN=4 |
2.1% | -27.1% | 0.27 | 0.08 | 1.7x | 87 | 9% |
| EMA 크로스오버 fast=78, slow=272 |
2.8% | -41.7% | 0.24 | 0.07 | 2.0x | 17 | 43% |
| SMA 크로스오버 fast=73, slow=128 |
2.1% | -52.7% | 0.21 | 0.04 | 1.7x | 56 | 44% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
1.3% | -43.1% | 0.16 | 0.03 | 1.4x | 50 | 17% |
| ROC 모멘텀 n=135, threshold=0.18 |
1.2% | -36.9% | 0.15 | 0.03 | 1.4x | 94 | 15% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=15, mult=2.3 |
0.8% | -24.2% | 0.15 | 0.03 | 1.2x | 34 | 3% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.2% | -69.8% | 0.08 | -0.00 | 0.9x | 319 | 49% |
| Supertrend period=26, mult=2.4 |
-1.4% | -71.9% | 0.03 | -0.02 | 0.7x | 263 | 50% |
| MACD fast=13, slow=47, signal=18 |
-3.4% | -78.9% | -0.07 | -0.04 | 0.4x | 315 | 53% |
| Buy and hold | -0.6% | -86.4% | 0.13 | -0.01 | 0.9x | 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)