Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한미약품 backtest
10 trend-following strategies were compared on the full daily history of 한미약품. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.6%, MDD -33.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.8%, drawdown -70.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.6%, MDD -33.7%, Sharpe 0.64, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.2%, MDD -61.0%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 14.6%, MDD -33.7%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=2.9 |
14.6% | -33.7% | 0.64 | 0.43 | 8.9x | 29 | 20% |
| SMA 크로스오버 fast=76, slow=175 |
16.2% | -61.0% | 0.60 | 0.27 | 11.2x | 24 | 46% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=11, mult=2.4 |
10.4% | -26.0% | 0.60 | 0.40 | 4.9x | 45 | 9% |
| ADX / DI 방향성 period=26, threshold=25 |
10.9% | -55.6% | 0.55 | 0.20 | 5.3x | 36 | 17% |
| ROC 모멘텀 n=129, threshold=0.14 |
13.1% | -65.4% | 0.55 | 0.20 | 7.2x | 110 | 32% |
| Donchian 채널 돌파 entryN=56, exitN=28 |
12.6% | -55.0% | 0.54 | 0.23 | 6.8x | 42 | 35% |
| EMA 크로스오버 fast=59, slow=129 |
12.7% | -70.5% | 0.52 | 0.18 | 6.8x | 22 | 49% |
| Supertrend period=26, mult=3.6 |
8.8% | -66.9% | 0.42 | 0.13 | 3.9x | 75 | 44% |
| Parabolic SAR step=0.02, maxStep=0.3 |
3.6% | -67.0% | 0.27 | 0.05 | 1.8x | 313 | 51% |
| MACD fast=14, slow=43, signal=7 |
0.1% | -82.7% | 0.17 | 0.00 | 1.0x | 273 | 49% |
| Buy and hold | 13.8% | -70.5% | 0.51 | 0.20 | 8.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 54-day middle average