Trend-Following Backtester · Guide · backtest 한국어
equity · JP
OTSUKA CORPORATION backtest
10 trend-following strategies were compared on the full daily history of OTSUKA CORPORATION. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.8%, MDD -47.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.7%, drawdown -78.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -47.2%, Sharpe 0.65, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 12.8%, MDD -47.2%, exposure 56%).
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=45, slow=178 |
12.8% | -47.2% | 0.65 | 0.27 | 21.9x | 32 | 56% |
| EMA 크로스오버 fast=41, slow=199 |
11.2% | -59.3% | 0.57 | 0.19 | 15.0x | 40 | 59% |
| Donchian 채널 돌파 entryN=128, exitN=75 |
9.2% | -54.1% | 0.53 | 0.17 | 9.4x | 33 | 49% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=29, mult=3.3 |
6.5% | -56.4% | 0.47 | 0.11 | 5.0x | 81 | 29% |
| ROC 모멘텀 n=147, threshold=0.01 |
8.0% | -58.2% | 0.45 | 0.14 | 7.2x | 191 | 58% |
| 볼린저 밴드 돌파 n=57, k=2.4 |
5.3% | -50.9% | 0.40 | 0.10 | 3.8x | 75 | 30% |
| ADX / DI 방향성 period=30, threshold=14 |
4.8% | -57.0% | 0.35 | 0.08 | 3.3x | 172 | 34% |
| Supertrend period=16, mult=3.6 |
4.7% | -68.2% | 0.32 | 0.07 | 3.3x | 149 | 51% |
| Parabolic SAR step=0.04, maxStep=0.14 |
-4.9% | -93.3% | -0.10 | -0.05 | 0.3x | 709 | 52% |
| MACD fast=14, slow=43, signal=15 |
-4.8% | -82.0% | -0.10 | -0.06 | 0.3x | 363 | 50% |
| Buy and hold | 11.7% | -78.0% | 0.50 | 0.15 | 16.9x | 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 45-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 45-day average falls below the 178-day average