Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Oracle Corporation Japan backtest
10 trend-following strategies were compared on the full daily history of Oracle Corporation Japan. 9 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 2.8%, MDD -38.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.4%, drawdown -90.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.8%, MDD -38.5%, Sharpe 0.26, 19% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.2%, MDD -58.3%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 51.8%p (CAGR 2.8%, MDD -38.5%, exposure 19%).
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=25, threshold=19 |
2.8% | -38.5% | 0.26 | 0.07 | 2.0x | 104 | 19% |
| SMA 크로스오버 fast=74, slow=152 |
3.2% | -58.3% | 0.26 | 0.06 | 2.2x | 44 | 52% |
| EMA 크로스오버 fast=52, slow=178 |
2.5% | -59.1% | 0.23 | 0.04 | 1.9x | 32 | 53% |
| Donchian 채널 돌파 entryN=75, exitN=37 |
2.4% | -53.6% | 0.23 | 0.04 | 1.8x | 50 | 32% |
| ROC 모멘텀 n=139, threshold=0.03 |
2.0% | -51.8% | 0.20 | 0.04 | 1.7x | 168 | 48% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=2.3 |
0.5% | -62.1% | 0.11 | 0.01 | 1.1x | 112 | 33% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
-0.1% | -61.5% | 0.08 | -0.00 | 1.0x | 116 | 35% |
| MACD fast=24, slow=39, signal=20 |
-2.9% | -86.2% | -0.02 | -0.03 | 0.5x | 247 | 49% |
| Supertrend period=23, mult=3.9 |
-2.8% | -65.3% | -0.02 | -0.04 | 0.5x | 141 | 52% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-7.7% | -88.2% | -0.23 | -0.09 | 0.1x | 525 | 51% |
| Buy and hold | -3.4% | -90.3% | 0.06 | -0.04 | 0.4x | 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, 25-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)