Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Astellas Pharma Inc. backtest
10 trend-following strategies were compared on the full daily history of Astellas Pharma Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.5%, drawdown -57.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.1%, MDD -7.9%, Sharpe 0.33, 3% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.2%, MDD -52.5%, exposure 50%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=27, mult=4 |
1.1% | -7.9% | 0.33 | 0.15 | 1.4x | 12 | 3% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
1.6% | -18.6% | 0.27 | 0.08 | 1.5x | 14 | 6% |
| ADX / DI 방향성 period=38, threshold=28 |
1.3% | -10.4% | 0.26 | 0.13 | 1.4x | 6 | 2% |
| EMA 크로스오버 fast=98, slow=207 |
2.2% | -52.5% | 0.21 | 0.04 | 1.8x | 25 | 50% |
| ROC 모멘텀 n=358, threshold=-0.03 |
2.0% | -54.7% | 0.20 | 0.04 | 1.7x | 119 | 57% |
| Donchian 채널 돌파 entryN=66, exitN=104 |
1.2% | -52.3% | 0.16 | 0.02 | 1.4x | 35 | 65% |
| SMA 크로스오버 fast=16, slow=107 |
0.6% | -49.0% | 0.12 | 0.01 | 1.2x | 90 | 52% |
| Supertrend period=12, mult=5 |
-1.0% | -66.0% | 0.05 | -0.01 | 0.8x | 82 | 53% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.6% | -77.8% | -0.04 | -0.03 | 0.5x | 217 | 53% |
| MACD fast=19, slow=51, signal=14 |
-7.5% | -90.4% | -0.34 | -0.08 | 0.1x | 327 | 53% |
| Buy and hold | 4.5% | -57.5% | 0.30 | 0.08 | 3.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 16-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average