Trend-Following Backtester · Guide · backtest 한국어
equity · KR
파마리서치 backtest
10 trend-following strategies were compared on the full daily history of 파마리서치. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.6%, MDD -36.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.3%, drawdown -74.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 29.8%, MDD -48.2%, Sharpe 0.91, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.5%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 16.6%, MDD -36.2%, exposure 34%).
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=23, slow=96 |
29.8% | -48.2% | 0.91 | 0.62 | 17.8x | 21 | 51% |
| EMA 크로스오버 fast=43, slow=81 |
24.0% | -46.8% | 0.79 | 0.51 | 10.7x | 16 | 50% |
| Donchian 채널 돌파 entryN=83, exitN=38 |
19.9% | -37.8% | 0.72 | 0.53 | 7.4x | 17 | 45% |
| ROC 모멘텀 n=67, threshold=0.05 |
19.4% | -46.8% | 0.69 | 0.41 | 7.1x | 97 | 46% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=35, mult=3 |
16.6% | -36.2% | 0.69 | 0.46 | 5.4x | 32 | 34% |
| Supertrend period=22, mult=3.9 |
18.3% | -39.0% | 0.66 | 0.47 | 6.4x | 35 | 48% |
| ADX / DI 방향성 period=30, threshold=15 |
13.5% | -42.4% | 0.58 | 0.32 | 4.0x | 70 | 37% |
| 볼린저 밴드 돌파 n=55, k=0.9 |
14.3% | -46.3% | 0.57 | 0.31 | 4.3x | 59 | 45% |
| Parabolic SAR step=0.005, maxStep=0.08 |
11.0% | -53.2% | 0.48 | 0.21 | 3.2x | 79 | 49% |
| MACD fast=8, slow=69, signal=14 |
9.8% | -60.7% | 0.45 | 0.16 | 2.8x | 139 | 53% |
| Buy and hold | 10.3% | -74.2% | 0.45 | 0.14 | 2.9x | 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 23-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 23-day average falls below the 96-day average