Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Bandai Namco Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Bandai Namco Holdings Inc.. 3 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 0.7%, MDD -17.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.3%, drawdown -95.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.3%, MDD -38.0%, Sharpe 0.20, 10% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 57.3%p (CAGR 0.7%, MDD -17.5%, 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=8, threshold=42 |
1.3% | -38.0% | 0.20 | 0.03 | 1.4x | 123 | 10% |
| 볼린저 밴드 돌파 n=31, k=3.1 |
1.1% | -26.4% | 0.17 | 0.04 | 1.3x | 36 | 9% |
| SMA 크로스오버 fast=45, slow=164 |
-1.5% | -92.4% | 0.16 | -0.02 | 0.7x | 40 | 58% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=22, mult=4 |
0.7% | -17.5% | 0.16 | 0.04 | 1.2x | 17 | 4% |
| EMA 크로스오버 fast=24, slow=91 |
-2.1% | -92.7% | 0.13 | -0.02 | 0.6x | 63 | 55% |
| Donchian 채널 돌파 entryN=41, exitN=75 |
-4.5% | -95.2% | 0.06 | -0.05 | 0.3x | 53 | 66% |
| MACD fast=24, slow=52, signal=31 |
-2.5% | -72.8% | 0.02 | -0.03 | 0.5x | 209 | 53% |
| ROC 모멘텀 n=127, threshold=0 |
-6.1% | -94.9% | -0.01 | -0.06 | 0.2x | 189 | 58% |
| Supertrend period=14, mult=5 |
-7.3% | -94.7% | -0.06 | -0.08 | 0.1x | 85 | 54% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-5.5% | -89.9% | -0.10 | -0.06 | 0.2x | 319 | 54% |
| Buy and hold | 0.3% | -95.3% | 0.24 | 0.00 | 1.1x | 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, 8-day) is ≥ 42
- Sell — Sell when direction flips or the trend weakens (ADX < 42)