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 7.7%, drawdown -52.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.1%, MDD -16.1%, Sharpe 0.43, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.2%, 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 |
3.1% | -16.1% | 0.43 | 0.19 | 2.2x | 36 | 9% |
| SMA 크로스오버 fast=61, slow=173 |
7.2% | -51.9% | 0.42 | 0.14 | 5.9x | 38 | 60% |
| Donchian 채널 돌파 entryN=11, exitN=76 |
6.0% | -60.7% | 0.35 | 0.10 | 4.4x | 73 | 86% |
| EMA 크로스오버 fast=43, slow=254 |
3.1% | -59.4% | 0.25 | 0.05 | 2.2x | 42 | 59% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=29, mult=3.2 |
1.4% | -52.5% | 0.18 | 0.03 | 1.4x | 106 | 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 |
0.4% | -76.9% | 0.13 | 0.01 | 1.1x | 204 | 58% |
| Supertrend period=22, mult=4.9 |
-0.4% | -66.1% | 0.09 | -0.01 | 0.9x | 119 | 56% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.0% | -64.6% | -0.01 | -0.03 | 0.6x | 205 | 53% |
| MACD fast=23, slow=46, signal=24 |
-2.3% | -62.0% | -0.02 | -0.04 | 0.6x | 247 | 52% |
| Buy and hold | 7.7% | -52.1% | 0.40 | 0.15 | 6.6x | 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