Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한올바이오파마 backtest
10 trend-following strategies were compared on the full daily history of 한올바이오파마. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.3%, drawdown -83.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.3%, MDD -73.3%, Sharpe 0.52, 54% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=25, slow=206 |
14.3% | -73.3% | 0.52 | 0.20 | 35.0x | 47 | 54% |
| SMA 크로스오버 fast=23, slow=208 |
14.3% | -77.4% | 0.52 | 0.18 | 34.6x | 45 | 51% |
| Donchian 채널 돌파 entryN=88, exitN=79 |
13.5% | -70.7% | 0.50 | 0.19 | 28.8x | 33 | 49% |
| ROC 모멘텀 n=104, threshold=0.04 |
10.0% | -72.8% | 0.43 | 0.14 | 12.4x | 278 | 48% |
| ADX / DI 방향성 period=51, threshold=13 |
9.4% | -88.6% | 0.42 | 0.11 | 11.0x | 82 | 40% |
| Supertrend period=36, mult=2.1 |
9.4% | -78.0% | 0.42 | 0.12 | 10.9x | 300 | 42% |
| Parabolic SAR step=0.02, maxStep=0.08 |
9.3% | -82.8% | 0.42 | 0.11 | 10.6x | 438 | 48% |
| MACD fast=14, slow=22, signal=14 |
8.1% | -85.3% | 0.39 | 0.09 | 7.9x | 424 | 52% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
7.3% | -53.9% | 0.39 | 0.13 | 6.4x | 40 | 13% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=8, mult=3.6 |
4.9% | -37.2% | 0.33 | 0.13 | 3.6x | 30 | 6% |
| Buy and hold | 18.3% | -83.1% | 0.58 | 0.22 | 86.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 25-day EMA crosses above the 206-day EMA
- Sell — Sell when the 25-day EMA falls below the 206-day EMA