Trend-Following Backtester · Guide · backtest 한국어
equity · JP
NEC Corporation backtest
10 trend-following strategies were compared on the full daily history of NEC Corporation. 10 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 5.1%, MDD -36.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.3%, drawdown -97.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -36.6%, Sharpe 0.39, 18% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.1%, MDD -65.8%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 60.6%p (CAGR 5.1%, MDD -36.6%, exposure 18%).
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=38, threshold=16 |
5.1% | -36.6% | 0.39 | 0.14 | 3.7x | 68 | 18% |
| SMA 크로스오버 fast=9, slow=270 |
6.1% | -65.8% | 0.37 | 0.09 | 4.9x | 56 | 46% |
| Donchian 채널 돌파 entryN=100, exitN=24 |
5.0% | -51.1% | 0.37 | 0.10 | 3.6x | 65 | 28% |
| EMA 크로스오버 fast=20, slow=199 |
5.9% | -67.2% | 0.36 | 0.09 | 4.6x | 43 | 46% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=29, mult=4 |
4.7% | -58.7% | 0.35 | 0.08 | 3.4x | 61 | 23% |
| Supertrend period=9, mult=5 |
3.9% | -63.5% | 0.28 | 0.06 | 2.8x | 97 | 56% |
| 볼린저 밴드 돌파 n=53, k=2.5 |
2.5% | -53.9% | 0.23 | 0.05 | 1.9x | 73 | 23% |
| MACD fast=13, slow=56, signal=23 |
1.2% | -64.4% | 0.17 | 0.02 | 1.4x | 271 | 53% |
| ROC 모멘텀 n=106, threshold=-0.02 |
0.9% | -83.0% | 0.16 | 0.01 | 1.3x | 231 | 53% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.6% | -78.3% | 0.15 | 0.01 | 1.2x | 209 | 51% |
| Buy and hold | -0.3% | -97.2% | 0.18 | -0.00 | 0.9x | 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, 38-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)