Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Rohto Pharmaceutical Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Rohto Pharmaceutical Co., Ltd.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.7%, drawdown -52.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.3%, MDD -16.1%, Sharpe 0.45, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.3%, MDD -51.9%, exposure 60%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=23, k=3.1 |
3.3% | -16.1% | 0.45 | 0.21 | 2.3x | 37 | 9% |
| SMA 크로스오버 fast=61, slow=173 |
7.3% | -51.9% | 0.42 | 0.14 | 6.1x | 39 | 60% |
| Donchian 채널 돌파 entryN=11, exitN=76 |
7.0% | -60.7% | 0.39 | 0.12 | 5.7x | 73 | 86% |
| EMA 크로스오버 fast=43, slow=254 |
3.4% | -59.4% | 0.26 | 0.06 | 2.3x | 43 | 59% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=29, mult=3.2 |
1.7% | -52.5% | 0.20 | 0.03 | 1.5x | 107 | 24% |
| ADX / DI 방향성 period=31, threshold=33 |
0.7% | -14.3% | 0.16 | 0.05 | 1.2x | 6 | 2% |
| ROC 모멘텀 n=146, threshold=0.01 |
0.7% | -76.9% | 0.14 | 0.01 | 1.2x | 205 | 58% |
| Supertrend period=22, mult=4.9 |
0.6% | -66.1% | 0.13 | 0.01 | 1.2x | 119 | 56% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.0% | -65.5% | -0.00 | -0.03 | 0.6x | 207 | 53% |
| MACD fast=23, slow=46, signal=24 |
-2.1% | -64.6% | -0.02 | -0.03 | 0.6x | 249 | 52% |
| Buy and hold | 8.7% | -52.1% | 0.43 | 0.17 | 8.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 23-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 23-day middle average