Trend-Following Backtester · Guide · backtest 한국어
equity · JP
West Japan Railway Company backtest
10 trend-following strategies were compared on the full daily history of West Japan Railway Company. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 2.0%, drawdown -61.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -9.1%, Sharpe 0.22, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.3%, MDD -49.3%, exposure 73%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=23, threshold=37 |
0.6% | -9.1% | 0.22 | 0.06 | 1.2x | 2 | 1% |
| Donchian 채널 돌파 entryN=32, exitN=97 |
2.3% | -49.3% | 0.21 | 0.05 | 1.8x | 49 | 73% |
| SMA 크로스오버 fast=38, slow=107 |
0.9% | -67.0% | 0.14 | 0.01 | 1.3x | 64 | 53% |
| EMA 크로스오버 fast=51, slow=75 |
0.8% | -70.4% | 0.14 | 0.01 | 1.3x | 60 | 56% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=9, mult=3.2 |
-0.7% | -31.9% | -0.05 | -0.02 | 0.8x | 63 | 11% |
| Supertrend period=26, mult=5 |
-2.6% | -72.3% | -0.05 | -0.04 | 0.5x | 89 | 57% |
| 볼린저 밴드 돌파 n=41, k=2.7 |
-1.2% | -53.6% | -0.08 | -0.02 | 0.7x | 63 | 15% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-3.8% | -81.0% | -0.12 | -0.05 | 0.4x | 323 | 52% |
| ROC 모멘텀 n=117, threshold=0.12 |
-2.3% | -55.4% | -0.13 | -0.04 | 0.5x | 218 | 21% |
| MACD fast=17, slow=59, signal=17 |
-6.3% | -88.3% | -0.28 | -0.07 | 0.2x | 297 | 50% |
| Buy and hold | 2.0% | -61.0% | 0.21 | 0.03 | 1.7x | 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, 23-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)