Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Secom Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Secom 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 0.5%, drawdown -76.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -12.7%, Sharpe 0.14, 1% exposure.
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=30, threshold=29 |
0.3% | -12.7% | 0.14 | 0.03 | 1.1x | 6 | 1% |
| EMA 크로스오버 fast=66, slow=181 |
0.2% | -48.9% | 0.10 | 0.00 | 1.0x | 37 | 56% |
| SMA 크로스오버 fast=62, slow=218 |
0.1% | -58.1% | 0.10 | 0.00 | 1.0x | 35 | 54% |
| Donchian 채널 돌파 entryN=14, exitN=30 |
-0.3% | -48.4% | 0.08 | -0.01 | 0.9x | 129 | 63% |
| Supertrend period=14, mult=4.8 |
-0.8% | -55.4% | 0.04 | -0.01 | 0.8x | 86 | 53% |
| 볼린저 밴드 돌파 n=57, k=2.2 |
-2.2% | -50.8% | -0.14 | -0.04 | 0.6x | 80 | 24% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=13, mult=4 |
-1.0% | -32.5% | -0.15 | -0.03 | 0.8x | 26 | 6% |
| ROC 모멘텀 n=149, threshold=0.14 |
-2.7% | -59.0% | -0.19 | -0.05 | 0.5x | 172 | 18% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-8.2% | -90.9% | -0.39 | -0.09 | 0.1x | 232 | 54% |
| MACD fast=11, slow=55, signal=18 |
-9.6% | -93.6% | -0.48 | -0.10 | 0.1x | 364 | 52% |
| Buy and hold | 0.5% | -76.6% | 0.16 | 0.01 | 1.1x | 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, 30-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)