Trend-Following Backtester · Guide · backtest 한국어
equity · JP
create restaurants holdings inc. backtest
10 trend-following strategies were compared on the full daily history of create restaurants holdings inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.9%, MDD -39.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.0%, drawdown -98.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.9%, MDD -41.9%, Sharpe 0.67, 33% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 16.9%, MDD -46.7%, exposure 64%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 56.3%p (CAGR 10.9%, MDD -39.3%, exposure 24%).
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=44, threshold=12 |
13.9% | -41.9% | 0.67 | 0.33 | 15.1x | 87 | 33% |
| EMA 크로스오버 fast=11, slow=219 |
16.9% | -46.7% | 0.66 | 0.36 | 25.8x | 39 | 64% |
| Donchian 채널 돌파 entryN=114, exitN=60 |
15.0% | -58.8% | 0.64 | 0.25 | 18.3x | 26 | 44% |
| 볼린저 밴드 돌파 n=28, k=1.1 |
15.0% | -57.0% | 0.64 | 0.26 | 18.6x | 201 | 42% |
| SMA 크로스오버 fast=6, slow=187 |
15.5% | -47.9% | 0.63 | 0.32 | 20.2x | 75 | 58% |
| Supertrend period=15, mult=1.9 |
14.6% | -75.4% | 0.59 | 0.19 | 17.3x | 293 | 51% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=13, mult=3 |
10.9% | -39.3% | 0.58 | 0.28 | 8.7x | 89 | 24% |
| ROC 모멘텀 n=92, threshold=-0.02 |
13.2% | -62.8% | 0.54 | 0.21 | 13.3x | 185 | 63% |
| MACD fast=10, slow=39, signal=19 |
11.6% | -85.7% | 0.51 | 0.14 | 9.9x | 247 | 52% |
| Parabolic SAR step=0.015, maxStep=0.28 |
4.1% | -91.7% | 0.34 | 0.05 | 2.3x | 329 | 51% |
| Buy and hold | 5.0% | -98.2% | 0.38 | 0.05 | 2.8x | 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, 44-day) is ≥ 12
- Sell — Sell when direction flips or the trend weakens (ADX < 12)