Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Akita Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Akita Bank, Ltd.. 2 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 3.1%, MDD -16.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.0%, drawdown -82.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.1%, MDD -16.6%, Sharpe 0.48, 4% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 4.6%, MDD -55.4%, exposure 48%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 66.1%p (CAGR 3.1%, MDD -16.6%, 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=51, threshold=23 |
3.1% | -16.6% | 0.48 | 0.19 | 2.2x | 3 | 4% |
| EMA 크로스오버 fast=65, slow=273 |
4.6% | -55.4% | 0.32 | 0.08 | 3.1x | 25 | 48% |
| SMA 크로스오버 fast=23, slow=199 |
1.5% | -73.8% | 0.17 | 0.02 | 1.4x | 51 | 47% |
| Donchian 채널 돌파 entryN=105, exitN=80 |
1.3% | -71.9% | 0.16 | 0.02 | 1.4x | 33 | 42% |
| 볼린저 밴드 돌파 n=59, k=3.2 |
0.8% | -26.8% | 0.14 | 0.03 | 1.2x | 22 | 9% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=19, mult=4 |
0.5% | -33.7% | 0.12 | 0.02 | 1.1x | 24 | 6% |
| ROC 모멘텀 n=129, threshold=0.08 |
-1.0% | -79.7% | 0.02 | -0.01 | 0.8x | 223 | 29% |
| Supertrend period=14, mult=4.8 |
-3.5% | -89.3% | -0.06 | -0.04 | 0.4x | 97 | 52% |
| MACD fast=24, slow=56, signal=22 |
-6.3% | -92.7% | -0.22 | -0.07 | 0.2x | 233 | 51% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-6.9% | -93.5% | -0.26 | -0.07 | 0.2x | 331 | 50% |
| Buy and hold | 3.0% | -82.7% | 0.25 | 0.04 | 2.2x | 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, 51-day) is ≥ 23
- Sell — Sell when direction flips or the trend weakens (ADX < 23)