Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Tomen Devices Corp. backtest
10 trend-following strategies were compared on the full daily history of Tomen Devices Corp.. 1 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 11.3%, MDD -24.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.0%, drawdown -73.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.3%, MDD -24.0%, Sharpe 0.85, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.1%, MDD -39.0%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 49.4%p (CAGR 11.3%, MDD -24.0%, exposure 13%).
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=17, threshold=33 |
11.3% | -24.0% | 0.85 | 0.47 | 11.1x | 53 | 13% |
| SMA 크로스오버 fast=14, slow=62 |
15.1% | -39.0% | 0.68 | 0.39 | 23.3x | 95 | 52% |
| EMA 크로스오버 fast=19, slow=47 |
12.8% | -46.0% | 0.60 | 0.28 | 15.0x | 87 | 52% |
| Donchian 채널 돌파 entryN=72, exitN=55 |
12.7% | -50.1% | 0.60 | 0.25 | 14.5x | 37 | 45% |
| 볼린저 밴드 돌파 n=38, k=0.9 |
10.7% | -34.1% | 0.57 | 0.31 | 9.8x | 183 | 42% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=23, mult=1.8 |
9.1% | -39.7% | 0.53 | 0.23 | 7.0x | 151 | 32% |
| Supertrend period=4, mult=5 |
10.4% | -51.6% | 0.52 | 0.20 | 9.3x | 95 | 52% |
| ROC 모멘텀 n=137, threshold=0.02 |
9.6% | -52.0% | 0.48 | 0.18 | 7.7x | 161 | 49% |
| MACD fast=18, slow=41, signal=19 |
8.6% | -52.7% | 0.48 | 0.16 | 6.3x | 221 | 53% |
| Parabolic SAR step=0.005, maxStep=0.1 |
6.4% | -65.6% | 0.38 | 0.10 | 4.0x | 149 | 54% |
| Buy and hold | 13.0% | -73.4% | 0.54 | 0.18 | 15.5x | 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, 17-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)