Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Chugai Pharmaceutical Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Chugai Pharmaceutical Co., Ltd.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -65.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.5%, MDD -53.4%, Sharpe 0.50, 62% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=48, slow=211 |
9.5% | -53.4% | 0.50 | 0.18 | 11.3x | 28 | 62% |
| SMA 크로스오버 fast=54, slow=216 |
8.7% | -55.1% | 0.47 | 0.16 | 9.2x | 36 | 58% |
| ROC 모멘텀 n=147, threshold=0.05 |
5.6% | -53.5% | 0.35 | 0.11 | 4.3x | 194 | 51% |
| Supertrend period=29, mult=4.2 |
4.5% | -59.5% | 0.31 | 0.08 | 3.2x | 130 | 54% |
| Donchian 채널 돌파 entryN=23, exitN=79 |
4.4% | -65.5% | 0.30 | 0.07 | 3.2x | 66 | 77% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=11, mult=3.9 |
2.0% | -36.6% | 0.22 | 0.06 | 1.7x | 62 | 18% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.3% | -67.1% | 0.22 | 0.03 | 1.8x | 222 | 53% |
| 볼린저 밴드 돌파 n=20, k=2.4 |
2.1% | -55.3% | 0.21 | 0.04 | 1.7x | 168 | 24% |
| MACD fast=12, slow=65, signal=25 |
0.3% | -64.4% | 0.12 | 0.00 | 1.1x | 282 | 51% |
| ADX / DI 방향성 period=23, threshold=32 |
0.5% | -24.7% | 0.11 | 0.02 | 1.1x | 28 | 6% |
| Buy and hold | 11.7% | -65.7% | 0.51 | 0.18 | 18.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 211-day EMA
- Sell — Sell when the 48-day EMA falls below the 211-day EMA