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.. 7 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 6.7%, MDD -29.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.1%, drawdown -85.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.7%, MDD -47.6%, Sharpe 0.59, 19% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 13.2%, MDD -34.7%, exposure 21%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 37.9%p (CAGR 6.7%, MDD -29.3%, exposure 9%).
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=38, threshold=19 |
12.7% | -47.6% | 0.59 | 0.27 | 2.2x | 5 | 19% |
| 볼린저 밴드 돌파 n=10, k=2.1 |
13.2% | -34.7% | 0.58 | 0.38 | 2.3x | 68 | 21% |
| ROC 모멘텀 n=79, threshold=0.11 |
12.0% | -56.8% | 0.52 | 0.21 | 2.2x | 83 | 31% |
| SMA 크로스오버 fast=35, slow=124 |
12.1% | -59.8% | 0.50 | 0.20 | 2.2x | 15 | 42% |
| EMA 크로스오버 fast=52, slow=57 |
9.6% | -78.2% | 0.43 | 0.12 | 1.9x | 19 | 45% |
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=12, mult=1.3 |
6.7% | -29.3% | 0.42 | 0.23 | 1.6x | 42 | 9% |
| Donchian 채널 돌파 entryN=59, exitN=75 |
8.2% | -68.9% | 0.40 | 0.12 | 1.7x | 9 | 47% |
| MACD fast=11, slow=47, signal=7 |
3.7% | -63.4% | 0.30 | 0.06 | 1.3x | 118 | 48% |
| Supertrend period=10, mult=1.9 |
3.4% | -75.0% | 0.29 | 0.04 | 1.3x | 96 | 47% |
| Parabolic SAR step=0.03, maxStep=0.28 |
0.8% | -71.0% | 0.23 | 0.01 | 1.1x | 178 | 46% |
| Buy and hold | 4.1% | -85.5% | 0.38 | 0.05 | 1.3x | 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, 38-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)