Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Mitsui ES Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Mitsui ES Holdings Co., Ltd.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.9%, MDD -60.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.1%, drawdown -95.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.9%, MDD -76.9%, Sharpe 0.52, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 9.9%, MDD -60.8%, exposure 22%).
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=20, threshold=4 |
12.9% | -76.9% | 0.52 | 0.17 | 25.2x | 387 | 53% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=24, mult=3.5 |
9.9% | -60.8% | 0.50 | 0.16 | 12.5x | 80 | 22% |
| SMA 크로스오버 fast=16, slow=107 |
12.0% | -80.0% | 0.50 | 0.15 | 20.5x | 84 | 51% |
| ROC 모멘텀 n=63, threshold=0.02 |
11.6% | -66.3% | 0.49 | 0.17 | 18.4x | 331 | 48% |
| 볼린저 밴드 돌파 n=51, k=2.9 |
8.7% | -61.2% | 0.48 | 0.14 | 9.3x | 46 | 17% |
| MACD fast=25, slow=35, signal=19 |
9.5% | -73.1% | 0.43 | 0.13 | 11.3x | 253 | 54% |
| Donchian 채널 돌파 entryN=16, exitN=77 |
9.4% | -88.3% | 0.43 | 0.11 | 11.0x | 79 | 78% |
| EMA 크로스오버 fast=27, slow=165 |
9.1% | -72.6% | 0.42 | 0.13 | 10.1x | 46 | 52% |
| Parabolic SAR step=0.02, maxStep=0.24 |
7.0% | -79.2% | 0.37 | 0.09 | 6.0x | 517 | 51% |
| Supertrend period=13, mult=2.8 |
6.4% | -84.0% | 0.35 | 0.08 | 5.3x | 238 | 51% |
| Buy and hold | 7.1% | -95.7% | 0.39 | 0.07 | 6.2x | 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, 20-day) is ≥ 4
- Sell — Sell when direction flips or the trend weakens (ADX < 4)