Trend-Following Backtester · Guide · backtest 한국어
equity · KR
동국제약 backtest
10 trend-following strategies were compared on the full daily history of 동국제약. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.3%, MDD -49.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.8%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -63.6%, Sharpe 0.47, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 12.4%p (CAGR 7.3%, MDD -49.2%, exposure 57%).
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=16, exitN=43 |
10.1% | -63.6% | 0.47 | 0.16 | 6.3x | 59 | 71% |
| SMA 크로스오버 fast=50, slow=111 |
7.3% | -56.3% | 0.39 | 0.13 | 3.9x | 46 | 52% |
| EMA 크로스오버 fast=21, slow=204 |
7.3% | -49.2% | 0.39 | 0.15 | 3.9x | 40 | 57% |
| ROC 모멘텀 n=150, threshold=-0.08 |
5.1% | -47.1% | 0.32 | 0.11 | 2.6x | 151 | 70% |
| Supertrend period=29, mult=4 |
3.4% | -43.0% | 0.26 | 0.08 | 1.9x | 60 | 52% |
| ADX / DI 방향성 period=23, threshold=42 |
1.2% | -13.3% | 0.24 | 0.09 | 1.3x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=19, mult=2.9 |
0.9% | -45.7% | 0.14 | 0.02 | 1.2x | 52 | 19% |
| 볼린저 밴드 돌파 n=49, k=1.3 |
0.3% | -53.6% | 0.13 | 0.01 | 1.1x | 122 | 37% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.4% | -75.1% | 0.08 | -0.02 | 0.8x | 148 | 50% |
| MACD fast=10, slow=28, signal=12 |
-3.9% | -70.0% | -0.02 | -0.06 | 0.5x | 326 | 50% |
| Buy and hold | 6.8% | -75.9% | 0.36 | 0.09 | 3.5x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 43 days