Trend-Following Backtester · Guide · backtest 한국어
equity · JP
TV Asahi Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of TV Asahi Holdings Corporation. 4 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 2.2%, MDD -19.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.1%, drawdown -67.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -19.5%, Sharpe 0.22, 13% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 48.1%p (CAGR 2.2%, MDD -19.5%, exposure 13%).
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=15, threshold=41 |
2.2% | -19.5% | 0.22 | 0.11 | 1.7x | 16 | 13% |
| Donchian 채널 돌파 entryN=101, exitN=75 |
1.2% | -56.4% | 0.16 | 0.02 | 1.3x | 34 | 50% |
| EMA 크로스오버 fast=40, slow=190 |
0.7% | -68.5% | 0.14 | 0.01 | 1.2x | 30 | 55% |
| SMA 크로스오버 fast=52, slow=79 |
0.5% | -73.4% | 0.13 | 0.01 | 1.1x | 86 | 43% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=17, mult=2.1 |
-0.4% | -54.6% | 0.06 | -0.01 | 0.9x | 120 | 32% |
| ROC 모멘텀 n=110, threshold=-0.03 |
-1.4% | -71.2% | 0.05 | -0.02 | 0.7x | 208 | 61% |
| MACD fast=36, slow=64, signal=37 |
-1.3% | -55.6% | 0.03 | -0.02 | 0.7x | 129 | 45% |
| 볼린저 밴드 돌파 n=53, k=2 |
-0.8% | -47.7% | 0.02 | -0.02 | 0.8x | 86 | 26% |
| Supertrend period=28, mult=4.2 |
-3.9% | -69.1% | -0.07 | -0.06 | 0.4x | 108 | 53% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-4.9% | -83.1% | -0.11 | -0.06 | 0.3x | 290 | 53% |
| Buy and hold | 0.1% | -67.6% | 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, 15-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)