Trend-Following Backtester · Guide · backtest 한국어
equity · KR
대웅제약 backtest
10 trend-following strategies were compared on the full daily history of 대웅제약. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 7.0%, drawdown -78.5%).
Sharpe leader (same as main): Supertrend — CAGR 8.3%, MDD -65.4%, Sharpe 0.41, 52% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=4.7 |
8.3% | -65.4% | 0.41 | 0.13 | 5.3x | 64 | 52% |
| Donchian 채널 돌파 entryN=18, exitN=42 |
6.4% | -76.5% | 0.35 | 0.08 | 3.6x | 81 | 65% |
| Parabolic SAR step=0.01, maxStep=0.26 |
5.8% | -67.3% | 0.34 | 0.09 | 3.2x | 261 | 50% |
| SMA 크로스오버 fast=21, slow=118 |
5.2% | -69.0% | 0.32 | 0.08 | 2.9x | 54 | 50% |
| EMA 크로스오버 fast=27, slow=60 |
5.0% | -73.1% | 0.31 | 0.07 | 2.8x | 72 | 50% |
| ADX / DI 방향성 period=31, threshold=21 |
4.0% | -56.6% | 0.28 | 0.07 | 2.3x | 60 | 18% |
| MACD fast=18, slow=56, signal=13 |
3.6% | -77.9% | 0.27 | 0.05 | 2.1x | 231 | 52% |
| 볼린저 밴드 돌파 n=46, k=3.2 |
3.5% | -55.0% | 0.27 | 0.06 | 2.1x | 30 | 12% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=2 |
2.8% | -76.7% | 0.24 | 0.04 | 1.8x | 94 | 34% |
| ROC 모멘텀 n=66, threshold=-0.04 |
-0.6% | -87.5% | 0.16 | -0.01 | 0.9x | 258 | 59% |
| Buy and hold | 7.0% | -78.5% | 0.38 | 0.09 | 4.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)