Trend-Following Backtester · Guide · backtest 한국어

equity · KR

유한양행 backtest

10 trend-following strategies were compared on the full daily history of 유한양행. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.

Data 2000-01-04 ~ 2026-07-31daily bars 6,644 (26.6 years)Costs 0.5%Venue XKRXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 12.1%, drawdown -59.4%).

Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.6%, MDD -65.0%, Sharpe 0.37, 67% 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
EMA 크로스오버
fast=50, slow=287
6.6%-65.0%0.370.105.4x4067%
SMA 크로스오버
fast=53, slow=135
5.1%-64.5%0.320.083.8x5657%
Donchian 채널 돌파
entryN=55, exitN=71
5.0%-62.9%0.320.083.7x4864%
Supertrend
period=23, mult=5
2.0%-71.0%0.210.031.7x7053%
ADX / DI 방향성
period=38, threshold=16
1.7%-43.8%0.190.041.6x8027%
ROC 모멘텀
n=90, threshold=-0.03
1.1%-79.3%0.180.011.3x33666%
Parabolic SAR
step=0.01, maxStep=0.32
1.2%-64.4%0.170.021.4x33550%
MACD
fast=18, slow=59, signal=23
-0.3%-65.1%0.11-0.000.9x26949%
볼린저 밴드 돌파
n=59, k=2.5
-0.2%-69.8%0.09-0.001.0x8227%
Keltner 채널 돌파
emaPeriod=28, atrPeriod=22, mult=1.4
-1.8%-77.1%0.02-0.020.6x22432%
Buy and hold12.1%-59.4%0.500.2020.7x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 EMA 크로스오버Buy and hold
EMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -16% -32% -49% -65% 2001 2005 2009 2013 2017 2021 2025 Buy and holdEMA 크로스오버
EMA 크로스오버 maximum drawdown -65.0% (2016-02-01 → 2020-03-19), recovered after 3,137 days.

Rules of the top strategy

Uses two exponential averages (more weight on recent prices) and trades their crossover.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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