Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Otsuka Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Otsuka Holdings Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.0%, MDD -28.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -44.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -28.6%, Sharpe 0.54, 60% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.5%, MDD -34.4%, exposure 84%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 15.7%p (CAGR 9.0%, MDD -28.6%, exposure 60%).
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=35, slow=73 |
9.0% | -28.6% | 0.54 | 0.31 | 3.8x | 54 | 60% |
| Donchian 채널 돌파 entryN=10, exitN=60 |
9.5% | -34.4% | 0.52 | 0.28 | 4.2x | 45 | 84% |
| ROC 모멘텀 n=202, threshold=-0.15 |
7.1% | -58.8% | 0.41 | 0.12 | 2.9x | 41 | 89% |
| ADX / DI 방향성 period=31, threshold=32 |
1.2% | -8.9% | 0.37 | 0.14 | 1.2x | 4 | 3% |
| Supertrend period=22, mult=5 |
3.9% | -47.7% | 0.30 | 0.08 | 1.8x | 51 | 61% |
| EMA 크로스오버 fast=41, slow=102 |
4.0% | -58.7% | 0.30 | 0.07 | 1.8x | 33 | 68% |
| 볼린저 밴드 돌파 n=57, k=3 |
1.3% | -31.7% | 0.19 | 0.04 | 1.2x | 18 | 11% |
| MACD fast=28, slow=53, signal=20 |
0.2% | -45.6% | 0.10 | 0.00 | 1.0x | 145 | 48% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=20, mult=3.8 |
0.3% | -48.1% | 0.09 | 0.01 | 1.0x | 40 | 20% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-0.3% | -55.7% | 0.07 | -0.01 | 0.9x | 206 | 55% |
| Buy and hold | 11.1% | -44.3% | 0.54 | 0.25 | 5.2x | 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 35-day average price crosses above the 73-day average
- Sell — Sell (to cash) when the 35-day average falls below the 73-day average