Trend-Following Backtester · Guide · backtest 한국어
equity · KR
알테오젠 backtest
10 trend-following strategies were compared on the full daily history of 알테오젠. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 40.5%, MDD -60.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 51.8%, drawdown -76.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 40.5%, MDD -60.1%, Sharpe 0.90, 55% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 42.8%, MDD -77.7%, exposure 86%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 11.3%p lower than buy and hold, while drawdown improves by 16.8%p (CAGR 40.5%, MDD -60.1%, exposure 55%).
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=33, slow=207 |
40.5% | -60.1% | 0.90 | 0.67 | 54.0x | 14 | 55% |
| Donchian 채널 돌파 entryN=14, exitN=98 |
42.8% | -77.7% | 0.89 | 0.55 | 65.2x | 21 | 86% |
| EMA 크로스오버 fast=19, slow=172 |
36.9% | -62.3% | 0.85 | 0.59 | 39.8x | 21 | 55% |
| ROC 모멘텀 n=122, threshold=0.09 |
33.6% | -57.2% | 0.82 | 0.59 | 29.7x | 100 | 49% |
| Parabolic SAR step=0.04, maxStep=0.08 |
31.4% | -58.5% | 0.80 | 0.54 | 24.5x | 234 | 53% |
| Supertrend period=10, mult=4 |
28.9% | -66.6% | 0.75 | 0.43 | 19.6x | 49 | 59% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=18, mult=1.3 |
24.4% | -56.3% | 0.69 | 0.43 | 12.9x | 73 | 45% |
| ADX / DI 방향성 period=36, threshold=19 |
21.9% | -55.2% | 0.69 | 0.40 | 10.1x | 22 | 25% |
| 볼린저 밴드 돌파 n=56, k=1.3 |
22.8% | -49.5% | 0.67 | 0.46 | 11.1x | 61 | 41% |
| MACD fast=6, slow=33, signal=9 |
16.9% | -61.6% | 0.57 | 0.27 | 6.2x | 270 | 49% |
| Buy and hold | 51.8% | -76.9% | 0.96 | 0.67 | 133.2x | 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 33-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 33-day average falls below the 207-day average