Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Santen Pharmaceutical Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Santen Pharmaceutical Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.6%, drawdown -57.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.1%, MDD -47.2%, Sharpe 0.37, 61% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=77, slow=215 |
6.1% | -47.2% | 0.37 | 0.13 | 4.5x | 31 | 61% |
| ROC 모멘텀 n=112, threshold=-0.15 |
3.7% | -67.4% | 0.27 | 0.05 | 2.5x | 115 | 88% |
| EMA 크로스오버 fast=56, slow=237 |
2.5% | -59.7% | 0.23 | 0.04 | 1.9x | 33 | 61% |
| 볼린저 밴드 돌파 n=22, k=3.2 |
0.6% | -17.8% | 0.13 | 0.04 | 1.2x | 26 | 4% |
| Donchian 채널 돌파 entryN=105, exitN=77 |
0.5% | -57.6% | 0.13 | 0.01 | 1.1x | 39 | 50% |
| Supertrend period=13, mult=3.6 |
-1.3% | -62.9% | 0.03 | -0.02 | 0.7x | 156 | 55% |
| ADX / DI 방향성 period=38, threshold=17 |
-0.5% | -49.7% | 0.02 | -0.01 | 0.9x | 54 | 16% |
| MACD fast=39, slow=40, signal=44 |
-2.3% | -71.1% | -0.02 | -0.03 | 0.6x | 178 | 54% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=23, mult=2.6 |
-4.9% | -78.2% | -0.27 | -0.06 | 0.3x | 134 | 30% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-8.1% | -90.4% | -0.32 | -0.09 | 0.1x | 436 | 53% |
| Buy and hold | 5.6% | -57.9% | 0.34 | 0.10 | 4.0x | 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 77-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 77-day average falls below the 215-day average