Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Sumitomo Pharma Co.Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sumitomo Pharma Co.Ltd.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -34.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.9%, drawdown -92.9%).
Sharpe leader (same as main): Supertrend — CAGR 8.8%, MDD -45.4%, Sharpe 0.45, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 4.3%, MDD -34.6%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=4.7 |
8.8% | -45.4% | 0.45 | 0.19 | 9.5x | 92 | 49% |
| EMA 크로스오버 fast=36, slow=76 |
8.2% | -50.0% | 0.42 | 0.16 | 8.1x | 56 | 48% |
| SMA 크로스오버 fast=49, slow=143 |
8.3% | -56.4% | 0.42 | 0.15 | 8.4x | 44 | 50% |
| ADX / DI 방향성 period=34, threshold=30 |
3.5% | -23.5% | 0.39 | 0.15 | 2.5x | 10 | 4% |
| 볼린저 밴드 돌파 n=37, k=3.3 |
4.3% | -34.6% | 0.38 | 0.12 | 3.1x | 32 | 11% |
| Donchian 채널 돌파 entryN=34, exitN=31 |
6.1% | -62.9% | 0.36 | 0.10 | 4.8x | 88 | 48% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=29, mult=3 |
5.4% | -65.2% | 0.35 | 0.08 | 4.0x | 92 | 27% |
| ROC 모멘텀 n=62, threshold=0.14 |
4.6% | -61.3% | 0.31 | 0.07 | 3.3x | 196 | 22% |
| Parabolic SAR step=0.015, maxStep=0.08 |
1.3% | -85.5% | 0.18 | 0.01 | 1.4x | 401 | 50% |
| MACD fast=6, slow=36, signal=10 |
-2.2% | -87.9% | 0.05 | -0.03 | 0.5x | 549 | 53% |
| Buy and hold | 3.9% | -92.9% | 0.29 | 0.04 | 2.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)