Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Lion Corporation backtest
10 trend-following strategies were compared on the full daily history of Lion 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 6.2%, drawdown -56.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -11.7%, Sharpe 0.33, 3% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 2.0%, MDD -21.2%, exposure 8%.
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=21, threshold=42 |
1.4% | -11.7% | 0.33 | 0.12 | 1.4x | 14 | 3% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
2.0% | -21.2% | 0.31 | 0.09 | 1.7x | 33 | 8% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=8, mult=3.7 |
1.8% | -25.5% | 0.26 | 0.07 | 1.6x | 34 | 9% |
| SMA 크로스오버 fast=25, slow=200 |
1.4% | -61.6% | 0.17 | 0.02 | 1.4x | 57 | 52% |
| Donchian 채널 돌파 entryN=45, exitN=25 |
0.9% | -50.0% | 0.14 | 0.02 | 1.3x | 93 | 39% |
| EMA 크로스오버 fast=34, slow=211 |
-0.3% | -67.1% | 0.08 | -0.00 | 0.9x | 57 | 52% |
| Supertrend period=20, mult=3.5 |
-1.2% | -81.6% | 0.03 | -0.01 | 0.7x | 161 | 50% |
| ROC 모멘텀 n=145, threshold=0.24 |
-0.8% | -35.6% | -0.01 | -0.02 | 0.8x | 82 | 13% |
| MACD fast=19, slow=34, signal=19 |
-5.3% | -78.1% | -0.21 | -0.07 | 0.2x | 313 | 51% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-7.1% | -87.9% | -0.32 | -0.08 | 0.2x | 429 | 52% |
| Buy and hold | 6.2% | -56.9% | 0.36 | 0.11 | 4.7x | 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, 21-day) is ≥ 42
- Sell — Sell when direction flips or the trend weakens (ADX < 42)