Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Takeda Pharmaceutical Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Takeda Pharmaceutical Co. Ltd.. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.2%, MDD -11.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.6%, drawdown -65.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.2%, MDD -11.0%, Sharpe 0.27, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.6%, MDD -58.2%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 54.2%p (CAGR 1.2%, MDD -11.0%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=21, mult=4 |
1.2% | -11.0% | 0.27 | 0.11 | 1.4x | 24 | 5% |
| SMA 크로스오버 fast=58, slow=286 |
1.6% | -58.2% | 0.19 | 0.03 | 1.5x | 23 | 47% |
| EMA 크로스오버 fast=73, slow=175 |
1.0% | -59.0% | 0.14 | 0.02 | 1.3x | 33 | 47% |
| ADX / DI 방향성 period=15, threshold=39 |
0.5% | -18.4% | 0.12 | 0.02 | 1.1x | 28 | 4% |
| 볼린저 밴드 돌파 n=22, k=2.9 |
0.3% | -36.1% | 0.08 | 0.01 | 1.1x | 39 | 6% |
| Donchian 채널 돌파 entryN=114, exitN=79 |
-0.3% | -51.0% | 0.03 | -0.01 | 0.9x | 32 | 39% |
| ROC 모멘텀 n=168, threshold=0.09 |
-1.3% | -50.0% | -0.07 | -0.03 | 0.7x | 183 | 28% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.2% | -80.8% | -0.13 | -0.04 | 0.4x | 211 | 50% |
| Supertrend period=17, mult=4.6 |
-3.7% | -78.1% | -0.16 | -0.05 | 0.4x | 121 | 52% |
| MACD fast=13, slow=55, signal=20 |
-5.8% | -85.6% | -0.31 | -0.07 | 0.2x | 319 | 51% |
| Buy and hold | 0.6% | -65.3% | 0.15 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 20-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average