Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NGK Corp. backtest
10 trend-following strategies were compared on the full daily history of NGK Corp.. 3 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 7.4%, MDD -23.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.8%, drawdown -81.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.4%, MDD -23.9%, Sharpe 0.59, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.8%, MDD -47.1%, exposure 34%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 57.7%p (CAGR 7.4%, MDD -23.9%, exposure 12%).
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=42, threshold=20 |
7.4% | -23.9% | 0.59 | 0.31 | 6.6x | 30 | 12% |
| Donchian 채널 돌파 entryN=94, exitN=39 |
8.8% | -47.1% | 0.52 | 0.19 | 9.4x | 48 | 34% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=28, mult=3.8 |
7.3% | -33.2% | 0.50 | 0.22 | 6.4x | 66 | 23% |
| ROC 모멘텀 n=88, threshold=0.09 |
8.2% | -59.0% | 0.48 | 0.14 | 8.0x | 189 | 36% |
| SMA 크로스오버 fast=25, slow=145 |
8.3% | -67.4% | 0.45 | 0.12 | 8.4x | 67 | 53% |
| 볼린저 밴드 돌파 n=36, k=1.4 |
6.3% | -54.4% | 0.40 | 0.12 | 5.1x | 186 | 41% |
| EMA 크로스오버 fast=59, slow=93 |
6.8% | -69.6% | 0.39 | 0.10 | 5.7x | 45 | 51% |
| Supertrend period=23, mult=3.5 |
6.1% | -73.4% | 0.36 | 0.08 | 4.8x | 176 | 54% |
| MACD fast=13, slow=46, signal=19 |
2.2% | -72.3% | 0.21 | 0.03 | 1.8x | 306 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-0.2% | -83.3% | 0.12 | -0.00 | 0.9x | 440 | 53% |
| Buy and hold | 7.8% | -81.6% | 0.39 | 0.10 | 7.3x | 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, 42-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)