Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Hikma Pharmaceuticals Plc backtest
10 trend-following strategies were compared on the full daily history of Hikma Pharmaceuticals Plc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.8%, MDD -50.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.7%, drawdown -68.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.8%, MDD -50.9%, Sharpe 0.45, 76% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 17.1%p (CAGR 8.8%, MDD -50.9%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=52 |
8.8% | -50.9% | 0.45 | 0.17 | 5.8x | 57 | 76% |
| Supertrend period=13, mult=5 |
6.9% | -50.1% | 0.41 | 0.14 | 4.0x | 63 | 55% |
| EMA 크로스오버 fast=19, slow=93 |
6.8% | -45.5% | 0.40 | 0.15 | 3.9x | 63 | 58% |
| SMA 크로스오버 fast=23, slow=108 |
5.8% | -49.6% | 0.37 | 0.12 | 3.2x | 57 | 56% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=19, mult=3.3 |
1.5% | -14.0% | 0.26 | 0.10 | 1.4x | 20 | 5% |
| 볼린저 밴드 돌파 n=58, k=1.5 |
2.9% | -45.9% | 0.25 | 0.06 | 1.8x | 99 | 42% |
| ADX / DI 방향성 period=35, threshold=20 |
2.1% | -27.7% | 0.24 | 0.08 | 1.5x | 67 | 18% |
| ROC 모멘텀 n=110, threshold=0.02 |
1.9% | -57.8% | 0.20 | 0.03 | 1.5x | 157 | 54% |
| MACD fast=19, slow=48, signal=19 |
-1.3% | -68.8% | 0.05 | -0.02 | 0.8x | 216 | 50% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-1.8% | -71.2% | 0.03 | -0.03 | 0.7x | 185 | 52% |
| Buy and hold | 8.7% | -68.0% | 0.42 | 0.13 | 5.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 20 days
- Sell — Sell when price breaks below the lowest low of the last 52 days