Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Chemical Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Chemical Co., 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 3.1%, MDD -19.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.8%, drawdown -82.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.1%, MDD -19.3%, Sharpe 0.44, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.1%, MDD -51.2%, exposure 38%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 63.3%p (CAGR 3.1%, MDD -19.3%, exposure 7%).
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=33, threshold=24 |
3.1% | -19.3% | 0.44 | 0.16 | 2.3x | 16 | 7% |
| Donchian 채널 돌파 entryN=96, exitN=58 |
4.1% | -51.2% | 0.30 | 0.08 | 2.9x | 42 | 38% |
| SMA 크로스오버 fast=40, slow=69 |
3.2% | -52.0% | 0.25 | 0.06 | 2.3x | 108 | 51% |
| EMA 크로스오버 fast=31, slow=85 |
2.3% | -51.1% | 0.21 | 0.04 | 1.8x | 75 | 48% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=27, mult=3.8 |
1.5% | -42.3% | 0.18 | 0.04 | 1.5x | 60 | 20% |
| 볼린저 밴드 돌파 n=72, k=2 |
1.3% | -41.6% | 0.16 | 0.03 | 1.4x | 80 | 30% |
| Supertrend period=4, mult=4.8 |
0.5% | -58.8% | 0.14 | 0.01 | 1.1x | 112 | 51% |
| ROC 모멘텀 n=88, threshold=0.06 |
0.1% | -55.0% | 0.11 | 0.00 | 1.0x | 281 | 38% |
| MACD fast=18, slow=40, signal=19 |
-5.4% | -86.4% | -0.10 | -0.06 | 0.2x | 301 | 53% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-7.6% | -92.3% | -0.21 | -0.08 | 0.1x | 359 | 51% |
| Buy and hold | 0.8% | -82.6% | 0.20 | 0.01 | 1.2x | 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, 33-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)