Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ONO Pharmaceutical Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of ONO Pharmaceutical Co., Ltd.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.3%, MDD -49.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.9%, drawdown -73.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.3%, MDD -49.8%, Sharpe 0.40, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 24.1%p (CAGR 6.3%, MDD -49.8%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=218 |
6.3% | -49.8% | 0.40 | 0.13 | 4.8x | 35 | 54% |
| EMA 크로스오버 fast=45, slow=158 |
5.4% | -54.1% | 0.36 | 0.10 | 3.8x | 35 | 53% |
| ROC 모멘텀 n=181, threshold=0.03 |
4.1% | -54.5% | 0.30 | 0.08 | 2.8x | 139 | 49% |
| Donchian 채널 돌파 entryN=93, exitN=59 |
3.2% | -44.1% | 0.26 | 0.07 | 2.2x | 46 | 44% |
| 볼린저 밴드 돌파 n=27, k=3.1 |
1.4% | -34.9% | 0.21 | 0.04 | 1.4x | 36 | 9% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=2.5 |
0.9% | -52.1% | 0.13 | 0.02 | 1.2x | 116 | 33% |
| ADX / DI 방향성 period=31, threshold=27 |
0.2% | -32.2% | 0.07 | 0.01 | 1.1x | 20 | 5% |
| Supertrend period=12, mult=3.5 |
-1.8% | -74.7% | 0.00 | -0.02 | 0.6x | 173 | 50% |
| MACD fast=18, slow=45, signal=16 |
-3.1% | -71.2% | -0.08 | -0.04 | 0.4x | 271 | 54% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-3.8% | -70.8% | -0.11 | -0.05 | 0.4x | 211 | 50% |
| Buy and hold | 3.9% | -73.9% | 0.28 | 0.05 | 2.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 30-day average falls below the 218-day average