Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Yamada Holding Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Yamada Holding Co., Ltd.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.8%, drawdown -83.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -14.3%, Sharpe 0.42, 1% exposure.
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=28, threshold=39 |
2.2% | -14.3% | 0.42 | 0.15 | 1.7x | 4 | 1% |
| 볼린저 밴드 돌파 n=24, k=3.4 |
1.8% | -19.4% | 0.28 | 0.09 | 1.6x | 16 | 4% |
| SMA 크로스오버 fast=78, slow=87 |
1.0% | -70.4% | 0.16 | 0.01 | 1.3x | 155 | 53% |
| Donchian 채널 돌파 entryN=49, exitN=30 |
1.1% | -70.1% | 0.15 | 0.02 | 1.3x | 83 | 43% |
| MACD fast=12, slow=52, signal=11 |
0.4% | -72.3% | 0.13 | 0.01 | 1.1x | 370 | 51% |
| EMA 크로스오버 fast=49, slow=69 |
-0.2% | -84.7% | 0.11 | -0.00 | 1.0x | 75 | 52% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=27, mult=3.6 |
0.5% | -46.1% | 0.10 | 0.01 | 1.1x | 68 | 14% |
| Supertrend period=10, mult=4.7 |
-1.5% | -86.8% | 0.06 | -0.02 | 0.7x | 111 | 55% |
| ROC 모멘텀 n=137, threshold=0.11 |
-3.2% | -90.1% | -0.10 | -0.04 | 0.4x | 203 | 30% |
| Parabolic SAR step=0.03, maxStep=0.36 |
-7.7% | -93.7% | -0.22 | -0.08 | 0.1x | 659 | 50% |
| Buy and hold | 3.8% | -83.0% | 0.28 | 0.05 | 2.6x | 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, 28-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)