Trend-Following Backtester · Guide · backtest 한국어
equity · KR
셀트리온 backtest
10 trend-following strategies were compared on the full daily history of 셀트리온. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 18.6%, MDD -51.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 18.1%, drawdown -75.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 20.5%, MDD -60.3%, Sharpe 0.73, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 18.6%, MDD -51.3%, exposure 31%).
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=18, threshold=17 |
20.5% | -60.3% | 0.73 | 0.34 | 50.8x | 204 | 39% |
| 볼린저 밴드 돌파 n=50, k=2 |
18.6% | -51.3% | 0.71 | 0.36 | 36.0x | 83 | 31% |
| SMA 크로스오버 fast=19, slow=39 |
17.8% | -67.5% | 0.64 | 0.26 | 31.5x | 141 | 50% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=2.5 |
15.8% | -55.3% | 0.63 | 0.29 | 21.8x | 74 | 30% |
| Donchian 채널 돌파 entryN=39, exitN=23 |
16.9% | -61.2% | 0.63 | 0.28 | 26.6x | 77 | 43% |
| EMA 크로스오버 fast=20, slow=36 |
15.6% | -73.5% | 0.58 | 0.21 | 21.0x | 123 | 51% |
| Parabolic SAR step=0.005, maxStep=0.14 |
14.5% | -71.6% | 0.57 | 0.20 | 17.4x | 149 | 50% |
| Supertrend period=16, mult=2.8 |
14.0% | -64.7% | 0.56 | 0.22 | 15.8x | 155 | 48% |
| ROC 모멘텀 n=30, threshold=0.11 |
11.6% | -57.8% | 0.53 | 0.20 | 10.1x | 270 | 23% |
| MACD fast=19, slow=24, signal=18 |
12.9% | -73.2% | 0.52 | 0.18 | 12.7x | 277 | 50% |
| Buy and hold | 18.1% | -75.6% | 0.59 | 0.24 | 33.0x | 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, 18-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)