Trend-Following Backtester · Guide · backtest 한국어

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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%).

Data 2010-12-15 ~ 2026-07-31daily bars 3,843 (15.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=35, slow=73
9.0%-28.6%0.540.313.8x5460%
Donchian 채널 돌파
entryN=10, exitN=60
9.5%-34.4%0.520.284.2x4584%
ROC 모멘텀
n=202, threshold=-0.15
7.1%-58.8%0.410.122.9x4189%
ADX / DI 방향성
period=31, threshold=32
1.2%-8.9%0.370.141.2x43%
Supertrend
period=22, mult=5
3.9%-47.7%0.300.081.8x5161%
EMA 크로스오버
fast=41, slow=102
4.0%-58.7%0.300.071.8x3368%
볼린저 밴드 돌파
n=57, k=3
1.3%-31.7%0.190.041.2x1811%
MACD
fast=28, slow=53, signal=20
0.2%-45.6%0.100.001.0x14548%
Keltner 채널 돌파
emaPeriod=52, atrPeriod=20, mult=3.8
0.3%-48.1%0.090.011.0x4020%
Parabolic SAR
step=0.01, maxStep=0.22
-0.3%-55.7%0.07-0.010.9x20655%
Buy and hold11.1%-44.3%0.540.255.2x1100%
1x 2011 2013 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파SMA 크로스오버Buy and hold
SMA 크로스오버 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -11% -22% -33% -44% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파SMA 크로스오버
SMA 크로스오버 maximum drawdown -28.6% (2015-08-11 → 2016-01-21), recovered after 524 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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