Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Airport Terminal Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Japan Airport Terminal 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 6.9%, drawdown -71.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.1%, MDD -37.0%, Sharpe 0.34, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.9%, MDD -75.6%, exposure 55%.
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=37, threshold=23 |
3.1% | -37.0% | 0.34 | 0.08 | 2.2x | 22 | 8% |
| SMA 크로스오버 fast=49, slow=192 |
4.9% | -75.6% | 0.31 | 0.06 | 3.4x | 41 | 55% |
| Supertrend period=10, mult=4.7 |
1.7% | -73.5% | 0.20 | 0.02 | 1.5x | 99 | 55% |
| Donchian 채널 돌파 entryN=75, exitN=15 |
1.7% | -49.4% | 0.18 | 0.03 | 1.5x | 79 | 24% |
| EMA 크로스오버 fast=28, slow=159 |
1.3% | -80.6% | 0.18 | 0.02 | 1.4x | 69 | 53% |
| ROC 모멘텀 n=145, threshold=-0.04 |
0.9% | -80.1% | 0.18 | 0.01 | 1.3x | 245 | 63% |
| 볼린저 밴드 돌파 n=28, k=1.5 |
0.1% | -71.5% | 0.11 | 0.00 | 1.0x | 231 | 37% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=2.8 |
0.1% | -64.8% | 0.10 | 0.00 | 1.0x | 93 | 27% |
| MACD fast=14, slow=48, signal=19 |
-1.3% | -73.9% | 0.08 | -0.02 | 0.7x | 303 | 52% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-5.7% | -83.9% | -0.09 | -0.07 | 0.2x | 451 | 52% |
| Buy and hold | 6.9% | -71.6% | 0.37 | 0.10 | 5.6x | 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, 37-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)