Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Idemitsu Kosan Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Idemitsu Kosan Co., Ltd.. 5 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 7.0%, MDD -27.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.6%, drawdown -68.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.6%, MDD -13.6%, Sharpe 0.54, 6% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 7.2%, MDD -31.8%, exposure 24%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 55.0%p (CAGR 7.0%, MDD -27.7%, exposure 26%).
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=35 |
3.6% | -13.6% | 0.54 | 0.26 | 2.0x | 16 | 6% |
| 볼린저 밴드 돌파 n=48, k=2.6 |
7.2% | -31.8% | 0.52 | 0.23 | 3.9x | 48 | 24% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=28, mult=3.8 |
7.0% | -27.7% | 0.50 | 0.25 | 3.8x | 42 | 26% |
| Donchian 채널 돌파 entryN=60, exitN=24 |
6.7% | -46.2% | 0.44 | 0.15 | 3.6x | 58 | 37% |
| Supertrend period=5, mult=3.7 |
6.7% | -54.8% | 0.40 | 0.12 | 3.6x | 105 | 53% |
| SMA 크로스오버 fast=39, slow=71 |
6.5% | -46.4% | 0.39 | 0.14 | 3.4x | 68 | 53% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.3% | -49.6% | 0.30 | 0.09 | 2.3x | 157 | 53% |
| EMA 크로스오버 fast=31, slow=53 |
3.6% | -44.3% | 0.27 | 0.08 | 2.0x | 68 | 52% |
| ROC 모멘텀 n=46, threshold=0.06 |
0.8% | -62.0% | 0.14 | 0.01 | 1.2x | 260 | 35% |
| MACD fast=17, slow=51, signal=13 |
-3.4% | -65.9% | -0.03 | -0.05 | 0.5x | 265 | 51% |
| Buy and hold | 4.6% | -68.6% | 0.30 | 0.07 | 2.4x | 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, 21-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)