Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한미사이언스 backtest
10 trend-following strategies were compared on the full daily history of 한미사이언스. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.7%, MDD -35.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.2%, drawdown -87.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.7%, MDD -35.5%, Sharpe 0.65, 6% exposure.
CAGR reference leader: Supertrend — CAGR 17.3%, MDD -60.1%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 52.1%p (CAGR 10.7%, MDD -35.5%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=32 |
10.7% | -35.5% | 0.65 | 0.30 | 8.4x | 8 | 6% |
| 볼린저 밴드 돌파 n=40, k=2.9 |
15.8% | -48.4% | 0.62 | 0.33 | 21.3x | 52 | 18% |
| Supertrend period=15, mult=3.3 |
17.3% | -60.1% | 0.61 | 0.29 | 27.8x | 107 | 47% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=20, mult=3.1 |
15.0% | -51.9% | 0.59 | 0.29 | 18.4x | 46 | 21% |
| EMA 크로스오버 fast=13, slow=121 |
15.0% | -58.5% | 0.55 | 0.26 | 18.3x | 56 | 43% |
| Donchian 채널 돌파 entryN=63, exitN=68 |
15.0% | -66.0% | 0.55 | 0.23 | 18.3x | 32 | 46% |
| SMA 크로스오버 fast=53, slow=155 |
14.5% | -67.7% | 0.55 | 0.21 | 16.9x | 38 | 45% |
| ROC 모멘텀 n=120, threshold=-0.03 |
13.2% | -70.4% | 0.51 | 0.19 | 13.2x | 180 | 49% |
| Parabolic SAR step=0.015, maxStep=0.1 |
9.1% | -71.4% | 0.42 | 0.13 | 6.1x | 309 | 48% |
| MACD fast=14, slow=37, signal=8 |
3.7% | -87.9% | 0.29 | 0.04 | 2.1x | 341 | 51% |
| Buy and hold | 8.2% | -87.6% | 0.41 | 0.09 | 5.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)