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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.6%, drawdown -83.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.6%, MDD -77.4%, Sharpe 0.54, 51% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 15.6%, MDD -73.3%, exposure 54%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=23, slow=208 |
15.6% | -77.4% | 0.54 | 0.20 | 47.7x | 45 | 51% |
| EMA 크로스오버 fast=25, slow=206 |
15.6% | -73.3% | 0.54 | 0.21 | 48.2x | 47 | 54% |
| Donchian 채널 돌파 entryN=88, exitN=79 |
14.8% | -70.7% | 0.53 | 0.21 | 39.7x | 33 | 49% |
| Supertrend period=36, mult=2.1 |
9.9% | -78.0% | 0.43 | 0.13 | 12.4x | 301 | 42% |
| Parabolic SAR step=0.02, maxStep=0.08 |
9.8% | -82.8% | 0.43 | 0.12 | 12.1x | 439 | 48% |
| ROC 모멘텀 n=104, threshold=0.04 |
9.6% | -72.8% | 0.43 | 0.13 | 11.5x | 288 | 48% |
| ADX / DI 방향성 period=51, threshold=13 |
9.4% | -88.6% | 0.42 | 0.11 | 11.0x | 82 | 40% |
| MACD fast=14, slow=22, signal=14 |
8.3% | -85.8% | 0.40 | 0.10 | 8.4x | 425 | 52% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
7.2% | -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 | 19.6% | -83.1% | 0.60 | 0.24 | 118.8x | 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 208-day average
- Sell — Sell (to cash) when the 23-day average falls below the 208-day average