Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ARE Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of ARE Holdings, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.3%, MDD -67.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.9%, drawdown -99.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.5%, MDD -19.1%, Sharpe 0.36, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.3%, MDD -67.5%, exposure 64%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 80.8%p (CAGR 3.3%, MDD -67.5%, exposure 64%).
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=36 |
2.5% | -19.1% | 0.36 | 0.13 | 1.9x | 16 | 4% |
| Donchian 채널 돌파 entryN=16, exitN=25 |
3.3% | -67.5% | 0.27 | 0.05 | 2.3x | 137 | 64% |
| SMA 크로스오버 fast=54, slow=190 |
2.6% | -99.8% | 0.20 | 0.03 | 1.9x | 44 | 53% |
| Supertrend period=34, mult=4.4 |
0.8% | -69.0% | 0.17 | 0.01 | 1.2x | 108 | 54% |
| 볼린저 밴드 돌파 n=13, k=3.4 |
0.1% | -2.6% | 0.17 | 0.06 | 1.0x | 2 | 0% |
| ROC 모멘텀 Hold-like · Exposure 97% n=5, threshold=-0.1 |
-18.2% | -99.9% | 0.17 | -0.18 | 0.0x | 123 | 97% |
| EMA 크로스오버 fast=58, slow=157 |
-1.6% | -84.4% | 0.07 | -0.02 | 0.7x | 52 | 54% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=16, mult=4 |
-0.2% | -55.2% | 0.04 | -0.00 | 1.0x | 50 | 12% |
| MACD fast=22, slow=57, signal=17 |
-3.1% | -85.6% | 0.03 | -0.04 | 0.5x | 269 | 54% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-4.7% | -86.5% | -0.00 | -0.05 | 0.3x | 481 | 52% |
| Buy and hold | 3.9% | -99.9% | 0.20 | 0.04 | 2.7x | 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, 24-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)