Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daicel Corporation backtest
10 trend-following strategies were compared on the full daily history of Daicel Corporation. 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 5.7%, drawdown -71.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -15.1%, Sharpe 0.25, 4% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 1.5%, MDD -63.3%, exposure 53%.
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=31, threshold=27 |
1.4% | -15.1% | 0.25 | 0.09 | 1.4x | 8 | 4% |
| Donchian 채널 돌파 entryN=11, exitN=69 |
1.5% | -71.0% | 0.20 | 0.02 | 1.4x | 91 | 83% |
| EMA 크로스오버 fast=58, slow=217 |
1.5% | -63.3% | 0.18 | 0.02 | 1.5x | 39 | 53% |
| SMA 크로스오버 fast=35, slow=191 |
0.7% | -73.4% | 0.14 | 0.01 | 1.2x | 43 | 53% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=24, mult=3.5 |
0.3% | -6.4% | 0.12 | 0.05 | 1.1x | 6 | 1% |
| 볼린저 밴드 돌파 n=14, k=3.4 |
0.1% | -4.0% | 0.11 | 0.04 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=94, threshold=-0.03 |
-4.1% | -84.7% | -0.05 | -0.05 | 0.3x | 285 | 63% |
| Supertrend period=25, mult=4.2 |
-4.4% | -84.8% | -0.07 | -0.05 | 0.3x | 129 | 57% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.7% | -84.2% | -0.15 | -0.07 | 0.2x | 428 | 53% |
| MACD fast=8, slow=45, signal=14 |
-9.1% | -94.2% | -0.31 | -0.10 | 0.1x | 478 | 52% |
| Buy and hold | 5.7% | -71.3% | 0.34 | 0.08 | 4.2x | 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, 31-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)