Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Kyushu Financial Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Kyushu Financial Group, Inc.. 8 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 9.4%, MDD -20.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.0%, drawdown -67.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.4%, MDD -20.4%, Sharpe 0.73, 16% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.1%, MDD -40.0%, exposure 35%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 46.7%p (CAGR 9.4%, MDD -20.4%, exposure 16%).
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=49, threshold=17 |
9.4% | -20.4% | 0.73 | 0.46 | 2.7x | 8 | 16% |
| Donchian 채널 돌파 entryN=108, exitN=54 |
11.1% | -40.0% | 0.66 | 0.28 | 3.1x | 11 | 35% |
| ROC 모멘텀 n=112, threshold=0.12 |
10.1% | -41.5% | 0.63 | 0.24 | 2.8x | 50 | 30% |
| SMA 크로스오버 fast=43, slow=176 |
9.9% | -50.6% | 0.58 | 0.20 | 2.8x | 11 | 40% |
| 볼린저 밴드 돌파 n=42, k=1.9 |
8.6% | -34.2% | 0.56 | 0.25 | 2.4x | 46 | 31% |
| EMA 크로스오버 fast=44, slow=96 |
9.5% | -57.0% | 0.55 | 0.17 | 2.7x | 17 | 41% |
| Supertrend period=15, mult=3.7 |
8.4% | -43.9% | 0.47 | 0.19 | 2.4x | 49 | 53% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=8, mult=3.4 |
5.3% | -32.2% | 0.45 | 0.16 | 1.7x | 20 | 17% |
| Parabolic SAR step=0.005, maxStep=0.04 |
4.5% | -51.5% | 0.31 | 0.09 | 1.6x | 74 | 53% |
| MACD fast=16, slow=58, signal=13 |
-1.0% | -51.0% | 0.07 | -0.02 | 0.9x | 134 | 53% |
| Buy and hold | 5.0% | -67.1% | 0.32 | 0.08 | 1.7x | 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, 49-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)