Trend-Following Backtester · Guide · backtest 한국어
equity · JP
freee K.K. backtest
10 trend-following strategies were compared on the full daily history of freee K.K.. 5 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 14.0%, MDD -43.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.7%, drawdown -85.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.0%, MDD -43.6%, Sharpe 0.64, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 14.0%, MDD -43.6%, exposure 17%).
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=39, threshold=19 |
14.0% | -43.6% | 0.64 | 0.32 | 2.4x | 4 | 17% |
| SMA 크로스오버 fast=48, slow=78 |
9.9% | -70.6% | 0.44 | 0.14 | 1.9x | 18 | 47% |
| ROC 모멘텀 n=89, threshold=0.14 |
8.3% | -61.2% | 0.42 | 0.14 | 1.7x | 57 | 28% |
| MACD fast=3, slow=8, signal=13 |
4.9% | -66.2% | 0.33 | 0.07 | 1.4x | 245 | 50% |
| EMA 크로스오버 fast=52, slow=58 |
4.7% | -76.7% | 0.31 | 0.06 | 1.4x | 19 | 43% |
| Parabolic SAR step=0.03, maxStep=0.28 |
-3.3% | -71.0% | 0.13 | -0.05 | 0.8x | 173 | 46% |
| Donchian 채널 돌파 entryN=106, exitN=51 |
-1.2% | -71.5% | 0.12 | -0.02 | 0.9x | 8 | 32% |
| Supertrend period=17, mult=2.1 |
-5.6% | -77.6% | 0.05 | -0.07 | 0.7x | 87 | 43% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=8, mult=1.4 |
-4.4% | -79.4% | 0.03 | -0.05 | 0.7x | 41 | 32% |
| 볼린저 밴드 돌파 n=39, k=3.2 |
-2.8% | -37.0% | -0.09 | -0.08 | 0.8x | 8 | 6% |
| Buy and hold | -0.7% | -85.5% | 0.30 | -0.01 | 1.0x | 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, 39-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)