Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Ricoh Company, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ricoh Company, Ltd.. 1 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 1.5%, MDD -20.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.1%, drawdown -83.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -20.6%, Sharpe 0.23, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 62.5%p (CAGR 1.5%, MDD -20.6%, exposure 4%).
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=18, threshold=32 |
1.5% | -20.6% | 0.23 | 0.07 | 1.5x | 24 | 4% |
| ROC 모멘텀 n=28, threshold=0.24 |
0.7% | -33.9% | 0.13 | 0.02 | 1.2x | 52 | 2% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=18, mult=3.9 |
-0.1% | -45.1% | 0.04 | -0.00 | 1.0x | 26 | 4% |
| SMA 크로스오버 fast=54, slow=110 |
-2.4% | -79.5% | 0.02 | -0.03 | 0.5x | 79 | 51% |
| EMA 크로스오버 fast=27, slow=96 |
-2.5% | -76.6% | 0.00 | -0.03 | 0.5x | 79 | 48% |
| Supertrend period=17, mult=4.9 |
-3.1% | -81.5% | -0.01 | -0.04 | 0.4x | 103 | 46% |
| 볼린저 밴드 돌파 n=22, k=3.3 |
-0.5% | -35.6% | -0.05 | -0.01 | 0.9x | 22 | 4% |
| Donchian 채널 돌파 entryN=15, exitN=72 |
-5.7% | -90.4% | -0.05 | -0.06 | 0.2x | 103 | 79% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.3% | -95.0% | -0.23 | -0.09 | 0.1x | 463 | 51% |
| MACD fast=18, slow=23, signal=13 |
-8.9% | -93.5% | -0.27 | -0.10 | 0.1x | 419 | 51% |
| Buy and hold | 1.1% | -83.1% | 0.21 | 0.01 | 1.3x | 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, 18-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)