Trend-Following Backtester · Guide · backtest 한국어
equity · JP
DENSO CORPORATION backtest
10 trend-following strategies were compared on the full daily history of DENSO CORPORATION. 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 4.1%, MDD -46.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.7%, drawdown -74.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -21.7%, Sharpe 0.38, 10% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.1%, MDD -46.6%, exposure 37%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 52.8%p (CAGR 4.1%, MDD -46.6%, exposure 37%).
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=23, threshold=24 |
3.3% | -21.7% | 0.38 | 0.15 | 2.4x | 40 | 10% |
| Donchian 채널 돌파 entryN=80, exitN=40 |
4.1% | -46.6% | 0.32 | 0.09 | 2.9x | 53 | 37% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=3.7 |
3.2% | -31.0% | 0.29 | 0.10 | 2.3x | 63 | 24% |
| SMA 크로스오버 fast=15, slow=56 |
3.9% | -51.1% | 0.29 | 0.08 | 2.8x | 135 | 54% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
2.9% | -31.8% | 0.28 | 0.09 | 2.1x | 51 | 21% |
| EMA 크로스오버 fast=52, slow=160 |
1.7% | -62.2% | 0.18 | 0.03 | 1.6x | 48 | 53% |
| ROC 모멘텀 n=65, threshold=0.09 |
1.4% | -45.3% | 0.17 | 0.03 | 1.4x | 279 | 31% |
| Supertrend period=27, mult=4.8 |
-1.1% | -57.3% | 0.06 | -0.02 | 0.7x | 109 | 57% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-3.6% | -72.6% | -0.05 | -0.05 | 0.4x | 349 | 53% |
| MACD fast=18, slow=25, signal=17 |
-8.0% | -92.1% | -0.24 | -0.09 | 0.1x | 385 | 53% |
| Buy and hold | 4.7% | -74.5% | 0.31 | 0.06 | 3.4x | 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, 23-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)