Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nippon Electric Glass Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Nippon Electric Glass Co., Ltd.. 7 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 1.8%, MDD -6.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.5%, drawdown -89.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -6.6%, Sharpe 0.52, 2% exposure.
CAGR reference leader: Supertrend — CAGR 7.0%, MDD -55.4%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 82.8%p (CAGR 1.8%, MDD -6.6%, exposure 2%).
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=24, threshold=39 |
1.8% | -6.6% | 0.52 | 0.27 | 1.6x | 2 | 2% |
| Supertrend period=9, mult=5 |
7.0% | -55.4% | 0.39 | 0.13 | 5.6x | 82 | 54% |
| Donchian 채널 돌파 entryN=60, exitN=50 |
6.7% | -52.9% | 0.38 | 0.13 | 5.2x | 50 | 54% |
| SMA 크로스오버 fast=40, slow=145 |
5.2% | -55.3% | 0.33 | 0.09 | 3.7x | 50 | 54% |
| ROC 모멘텀 n=146, threshold=0.18 |
3.7% | -59.9% | 0.28 | 0.06 | 2.5x | 164 | 30% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
3.0% | -65.8% | 0.25 | 0.05 | 2.2x | 64 | 24% |
| EMA 크로스오버 fast=38, slow=73 |
3.0% | -62.9% | 0.24 | 0.05 | 2.1x | 62 | 54% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=23, mult=3.6 |
0.7% | -75.4% | 0.13 | 0.01 | 1.2x | 84 | 27% |
| MACD fast=13, slow=42, signal=17 |
-5.7% | -87.6% | -0.07 | -0.06 | 0.2x | 346 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-6.6% | -92.8% | -0.11 | -0.07 | 0.2x | 206 | 54% |
| Buy and hold | 1.5% | -89.4% | 0.23 | 0.02 | 1.5x | 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, 24-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)