Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Metropolitan Fund Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of Japan Metropolitan Fund Investment Corporation. 7 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 2.4%, MDD -11.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.1%, drawdown -79.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.4%, MDD -11.5%, Sharpe 0.44, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.7%, MDD -47.1%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 67.5%p (CAGR 2.4%, MDD -11.5%, 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=33, threshold=29 |
2.4% | -11.5% | 0.44 | 0.21 | 1.6x | 8 | 5% |
| 볼린저 밴드 돌파 n=32, k=3 |
3.2% | -22.0% | 0.38 | 0.14 | 1.9x | 26 | 10% |
| SMA 크로스오버 fast=46, slow=99 |
4.7% | -47.1% | 0.35 | 0.10 | 2.6x | 59 | 51% |
| Donchian 채널 돌파 entryN=92, exitN=59 |
3.9% | -38.0% | 0.34 | 0.10 | 2.2x | 30 | 40% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=8, mult=2.8 |
2.5% | -37.6% | 0.26 | 0.07 | 1.7x | 60 | 25% |
| EMA 크로스오버 fast=48, slow=189 |
2.4% | -41.5% | 0.23 | 0.06 | 1.6x | 25 | 51% |
| Supertrend period=6, mult=5 |
2.2% | -52.3% | 0.21 | 0.04 | 1.6x | 57 | 56% |
| ROC 모멘텀 n=131, threshold=0.01 |
-1.5% | -61.0% | -0.00 | -0.03 | 0.7x | 198 | 48% |
| MACD fast=18, slow=35, signal=19 |
-3.7% | -69.6% | -0.09 | -0.05 | 0.5x | 242 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.6% | -72.7% | -0.09 | -0.05 | 0.5x | 168 | 54% |
| Buy and hold | -0.1% | -79.0% | 0.15 | -0.00 | 1.0x | 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, 33-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)