Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mabuchi Motor Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Mabuchi Motor 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 1.7%, MDD -19.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.6%, drawdown -78.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -19.6%, Sharpe 0.28, 8% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.0%, MDD -56.2%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 59.1%p (CAGR 1.7%, MDD -19.6%, exposure 8%).
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=29 |
1.7% | -19.6% | 0.28 | 0.09 | 1.5x | 28 | 8% |
| EMA 크로스오버 fast=24, slow=168 |
3.0% | -56.2% | 0.25 | 0.05 | 2.1x | 43 | 44% |
| SMA 크로스오버 fast=14, slow=207 |
2.7% | -54.0% | 0.24 | 0.05 | 2.0x | 51 | 45% |
| 볼린저 밴드 돌파 n=37, k=3.2 |
1.1% | -25.3% | 0.17 | 0.04 | 1.3x | 28 | 10% |
| Supertrend period=25, mult=4.7 |
0.9% | -72.7% | 0.14 | 0.01 | 1.3x | 93 | 52% |
| Donchian 채널 돌파 entryN=55, exitN=64 |
0.6% | -67.0% | 0.13 | 0.01 | 1.2x | 53 | 53% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=23, mult=2.2 |
0.7% | -68.9% | 0.12 | 0.01 | 1.2x | 125 | 29% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.1% | -70.9% | 0.11 | 0.00 | 1.0x | 197 | 53% |
| ROC 모멘텀 n=115, threshold=0.09 |
-0.4% | -66.0% | 0.05 | -0.01 | 0.9x | 189 | 29% |
| MACD fast=19, slow=43, signal=19 |
-2.9% | -72.5% | -0.04 | -0.04 | 0.5x | 261 | 51% |
| Buy and hold | 0.6% | -78.7% | 0.17 | 0.01 | 1.2x | 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 ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)