Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ITO EN,Ltd. backtest
10 trend-following strategies were compared on the full daily history of ITO EN,Ltd.. 6 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 2.7%, MDD -14.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.3%, drawdown -77.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.7%, MDD -14.2%, Sharpe 0.32, 3% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.5%, MDD -50.6%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 63.2%p (CAGR 2.7%, MDD -14.2%, exposure 3%).
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=24, threshold=39 |
2.7% | -14.2% | 0.32 | 0.19 | 2.0x | 8 | 3% |
| EMA 크로스오버 fast=45, slow=205 |
4.5% | -50.6% | 0.32 | 0.09 | 3.1x | 24 | 57% |
| SMA 크로스오버 fast=29, slow=211 |
3.8% | -53.1% | 0.29 | 0.07 | 2.6x | 36 | 55% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=15, mult=3.1 |
2.2% | -19.5% | 0.25 | 0.11 | 1.8x | 54 | 9% |
| 볼린저 밴드 돌파 n=22, k=2.3 |
1.1% | -38.5% | 0.14 | 0.03 | 1.3x | 145 | 22% |
| Donchian 채널 돌파 entryN=53, exitN=40 |
0.8% | -44.3% | 0.13 | 0.02 | 1.2x | 65 | 43% |
| ROC 모멘텀 n=149, threshold=-0.04 |
-1.2% | -71.8% | 0.05 | -0.02 | 0.7x | 199 | 65% |
| Supertrend period=9, mult=3.1 |
-1.4% | -70.6% | 0.02 | -0.02 | 0.7x | 201 | 51% |
| MACD fast=13, slow=33, signal=11 |
-2.0% | -72.0% | -0.01 | -0.03 | 0.6x | 381 | 53% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-4.0% | -73.6% | -0.11 | -0.05 | 0.4x | 317 | 50% |
| Buy and hold | -0.3% | -77.4% | 0.13 | -0.00 | 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, 24-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)