Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Eisai Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Eisai 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 3.6%, drawdown -72.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.2%, MDD -39.1%, Sharpe 0.23, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.5%, MDD -56.2%, exposure 54%.
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=53, k=3.2 |
2.2% | -39.1% | 0.23 | 0.06 | 1.8x | 30 | 12% |
| SMA 크로스오버 fast=35, slow=177 |
2.5% | -56.2% | 0.22 | 0.04 | 1.9x | 40 | 54% |
| ADX / DI 방향성 period=29, threshold=41 |
0.9% | -17.8% | 0.19 | 0.05 | 1.3x | 2 | 1% |
| Supertrend period=29, mult=3 |
1.7% | -54.2% | 0.19 | 0.03 | 1.5x | 201 | 47% |
| EMA 크로스오버 fast=44, slow=152 |
1.6% | -63.7% | 0.19 | 0.03 | 1.5x | 44 | 53% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=4 |
1.5% | -55.2% | 0.17 | 0.03 | 1.5x | 61 | 18% |
| Donchian 채널 돌파 entryN=88, exitN=47 |
0.5% | -55.8% | 0.13 | 0.01 | 1.1x | 54 | 41% |
| ROC 모멘텀 n=140, threshold=-0.02 |
-0.7% | -67.0% | 0.10 | -0.01 | 0.8x | 211 | 59% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.3% | -79.2% | 0.02 | -0.03 | 0.5x | 215 | 48% |
| MACD fast=18, slow=24, signal=13 |
-6.1% | -91.2% | -0.14 | -0.07 | 0.2x | 403 | 50% |
| Buy and hold | 3.6% | -72.4% | 0.27 | 0.05 | 2.6x | 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 53-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 53-day middle average