Trend-Following Backtester · Guide · backtest 한국어
equity · KR
리가켐바이오 backtest
10 trend-following strategies were compared on the full daily history of 리가켐바이오. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.0%, drawdown -63.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.9%, MDD -64.4%, Sharpe 0.55, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=59, slow=101 |
15.9% | -64.4% | 0.55 | 0.25 | 7.0x | 36 | 59% |
| Donchian 채널 돌파 entryN=93, exitN=61 |
7.8% | -63.3% | 0.39 | 0.12 | 2.7x | 20 | 43% |
| EMA 크로스오버 fast=47, slow=74 |
5.7% | -76.9% | 0.36 | 0.07 | 2.1x | 38 | 57% |
| MACD fast=9, slow=23, signal=12 |
5.3% | -76.6% | 0.34 | 0.07 | 2.0x | 254 | 51% |
| ADX / DI 방향성 period=29, threshold=11 |
4.6% | -72.9% | 0.33 | 0.06 | 1.8x | 150 | 52% |
| ROC 모멘텀 n=79, threshold=0.04 |
4.0% | -75.2% | 0.32 | 0.05 | 1.7x | 164 | 49% |
| Supertrend period=6, mult=3.9 |
3.0% | -72.4% | 0.31 | 0.04 | 1.5x | 58 | 66% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=20, mult=1.4 |
1.8% | -67.9% | 0.21 | 0.03 | 1.3x | 136 | 21% |
| 볼린저 밴드 돌파 n=36, k=2.5 |
0.6% | -63.2% | 0.18 | 0.01 | 1.1x | 62 | 26% |
| Parabolic SAR step=0.04, maxStep=0.16 |
-4.6% | -83.5% | 0.10 | -0.05 | 0.5x | 394 | 50% |
| Buy and hold | 19.0% | -63.5% | 0.59 | 0.30 | 10.0x | 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 59-day average price crosses above the 101-day average
- Sell — Sell (to cash) when the 59-day average falls below the 101-day average