Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Ogaki Kyoritsu Bank, Ltd. backtest
10 trend-following strategies were compared on the full daily history of Ogaki Kyoritsu Bank, Ltd.. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.1%, MDD -12.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.4%, drawdown -79.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.5%, MDD -15.6%, Sharpe 0.50, 3% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 63.5%p (CAGR 3.1%, MDD -12.9%, exposure 5%).
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=63, threshold=21 |
3.5% | -15.6% | 0.50 | 0.22 | 2.4x | 2 | 3% |
| 볼린저 밴드 돌파 n=24, k=3.2 |
3.1% | -12.9% | 0.47 | 0.24 | 2.2x | 20 | 5% |
| ROC 모멘텀 n=120, threshold=0.29 |
2.7% | -33.6% | 0.32 | 0.08 | 2.0x | 59 | 8% |
| SMA 크로스오버 fast=30, slow=230 |
3.2% | -66.8% | 0.26 | 0.05 | 2.3x | 39 | 41% |
| Donchian 채널 돌파 entryN=36, exitN=59 |
2.5% | -60.7% | 0.22 | 0.04 | 1.9x | 61 | 63% |
| EMA 크로스오버 fast=59, slow=131 |
2.4% | -67.2% | 0.22 | 0.04 | 1.9x | 39 | 42% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=19, mult=3.7 |
1.3% | -50.4% | 0.19 | 0.03 | 1.4x | 40 | 9% |
| Supertrend period=23, mult=4.8 |
1.0% | -77.3% | 0.15 | 0.01 | 1.3x | 85 | 50% |
| MACD fast=30, slow=52, signal=16 |
-8.6% | -94.4% | -0.35 | -0.09 | 0.1x | 271 | 55% |
| Parabolic SAR step=0.035, maxStep=0.36 |
-12.0% | -98.3% | -0.54 | -0.12 | 0.0x | 727 | 52% |
| Buy and hold | 1.4% | -79.1% | 0.19 | 0.02 | 1.4x | 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, 63-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)