Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼천당제약 backtest
10 trend-following strategies were compared on the full daily history of 삼천당제약. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.7%, MDD -64.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.2%, drawdown -89.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.7%, MDD -82.2%, Sharpe 0.56, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 7.1%p (CAGR 12.7%, MDD -64.5%, exposure 31%).
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=43, slow=268 |
16.7% | -82.2% | 0.56 | 0.20 | 53.9x | 28 | 57% |
| Supertrend period=18, mult=2.5 |
14.5% | -74.6% | 0.52 | 0.19 | 33.2x | 216 | 44% |
| 볼린저 밴드 돌파 n=25, k=1.8 |
12.7% | -64.5% | 0.49 | 0.20 | 22.0x | 224 | 31% |
| MACD fast=17, slow=43, signal=14 |
12.8% | -76.7% | 0.49 | 0.17 | 22.6x | 307 | 51% |
| Donchian 채널 돌파 entryN=12, exitN=39 |
11.3% | -82.4% | 0.46 | 0.14 | 15.7x | 120 | 73% |
| EMA 크로스오버 fast=57, slow=151 |
10.5% | -86.0% | 0.45 | 0.12 | 13.2x | 36 | 55% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=22, mult=2 |
8.6% | -65.1% | 0.40 | 0.13 | 8.3x | 136 | 29% |
| Parabolic SAR step=0.015, maxStep=0.12 |
6.3% | -66.5% | 0.36 | 0.09 | 4.8x | 424 | 48% |
| ADX / DI 방향성 period=22, threshold=15 |
5.4% | -84.0% | 0.33 | 0.06 | 3.9x | 252 | 43% |
| ROC 모멘텀 n=149, threshold=-0.02 |
4.1% | -93.0% | 0.33 | 0.04 | 2.8x | 276 | 60% |
| Buy and hold | 15.2% | -89.3% | 0.54 | 0.17 | 39.0x | 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 43-day average price crosses above the 268-day average
- Sell — Sell (to cash) when the 43-day average falls below the 268-day average