Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Credit Saison Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Credit Saison Co., Ltd.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.5%, MDD -69.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.5%, drawdown -90.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.1%, MDD -32.3%, Sharpe 0.28, 5% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 3.5%, MDD -69.9%, exposure 57%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 58.5%p (CAGR 3.5%, MDD -69.9%, exposure 57%).
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=12, threshold=38 |
2.1% | -32.3% | 0.28 | 0.06 | 1.7x | 40 | 5% |
| EMA 크로스오버 fast=42, slow=155 |
3.5% | -69.9% | 0.26 | 0.05 | 2.5x | 47 | 57% |
| SMA 크로스오버 fast=55, slow=206 |
3.0% | -64.5% | 0.25 | 0.05 | 2.2x | 35 | 58% |
| Donchian 채널 돌파 entryN=10, exitN=69 |
1.4% | -79.9% | 0.21 | 0.02 | 1.4x | 87 | 87% |
| ROC 모멘텀 n=110, threshold=-0.1 |
1.4% | -79.1% | 0.20 | 0.02 | 1.5x | 225 | 74% |
| 볼린저 밴드 돌파 n=20, k=3 |
-0.2% | -32.0% | 0.04 | -0.01 | 0.9x | 62 | 10% |
| MACD fast=15, slow=36, signal=13 |
-3.3% | -91.2% | 0.01 | -0.04 | 0.4x | 382 | 50% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=19, mult=4 |
-1.1% | -49.7% | -0.00 | -0.02 | 0.7x | 48 | 12% |
| Supertrend period=14, mult=4 |
-4.8% | -84.7% | -0.04 | -0.06 | 0.3x | 141 | 55% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-6.9% | -90.0% | -0.13 | -0.08 | 0.2x | 454 | 51% |
| Buy and hold | 3.5% | -90.8% | 0.29 | 0.04 | 2.5x | 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, 12-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)