Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ARCHION Corporation backtest
10 trend-following strategies were compared on the full daily history of ARCHION Corporation. 6 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 2.0%, MDD -30.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.9%, drawdown -85.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.0%, MDD -30.5%, Sharpe 0.27, 3% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 2.2%, MDD -46.3%, exposure 16%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 55.4%p (CAGR 2.0%, MDD -30.5%, exposure 3%).
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=26, threshold=30 |
2.0% | -30.5% | 0.27 | 0.07 | 1.7x | 12 | 3% |
| 볼린저 밴드 돌파 n=50, k=2.8 |
2.2% | -46.3% | 0.22 | 0.05 | 1.8x | 46 | 16% |
| Donchian 채널 돌파 entryN=110, exitN=51 |
1.3% | -66.6% | 0.17 | 0.02 | 1.4x | 44 | 38% |
| SMA 크로스오버 fast=57, slow=68 |
0.7% | -86.2% | 0.16 | 0.01 | 1.2x | 154 | 51% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=12, mult=4 |
1.3% | -61.7% | 0.16 | 0.02 | 1.4x | 54 | 15% |
| EMA 크로스오버 fast=45, slow=125 |
0.7% | -74.4% | 0.16 | 0.01 | 1.2x | 48 | 49% |
| ROC 모멘텀 n=92, threshold=-0.04 |
-2.8% | -85.9% | 0.04 | -0.03 | 0.5x | 294 | 58% |
| Supertrend period=25, mult=3.7 |
-3.5% | -88.5% | 0.00 | -0.04 | 0.4x | 160 | 49% |
| MACD fast=15, slow=39, signal=28 |
-4.1% | -92.1% | -0.01 | -0.04 | 0.3x | 279 | 53% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-4.0% | -89.6% | -0.02 | -0.04 | 0.3x | 340 | 51% |
| Buy and hold | -0.9% | -85.9% | 0.18 | -0.01 | 0.8x | 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, 26-day) is ≥ 30
- Sell — Sell when direction flips or the trend weakens (ADX < 30)