Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성바이오로직스 backtest
10 trend-following strategies were compared on the full daily history of 삼성바이오로직스. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.1%, MDD -43.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.4%, drawdown -57.3%).
Sharpe leader (same as main): Supertrend — CAGR 18.1%, MDD -43.9%, Sharpe 0.78, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.2%p lower than buy and hold, while drawdown improves by 13.4%p (CAGR 18.1%, MDD -43.9%, exposure 57%).
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=26, mult=3.9 |
18.1% | -43.9% | 0.78 | 0.41 | 5.1x | 41 | 57% |
| MACD fast=13, slow=29, signal=17 |
16.4% | -37.9% | 0.71 | 0.43 | 4.4x | 118 | 51% |
| Donchian 채널 돌파 entryN=30, exitN=14 |
13.5% | -43.9% | 0.70 | 0.31 | 3.4x | 48 | 41% |
| 볼린저 밴드 돌파 n=50, k=2 |
11.4% | -29.8% | 0.62 | 0.38 | 2.9x | 33 | 36% |
| ADX / DI 방향성 period=28, threshold=15 |
11.9% | -43.6% | 0.61 | 0.27 | 3.0x | 54 | 41% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=12, mult=2.2 |
10.9% | -37.2% | 0.59 | 0.29 | 2.8x | 42 | 39% |
| SMA 크로스오버 fast=24, slow=107 |
11.9% | -45.4% | 0.55 | 0.26 | 3.0x | 29 | 51% |
| EMA 크로스오버 fast=54, slow=85 |
11.7% | -43.8% | 0.53 | 0.27 | 3.0x | 23 | 57% |
| Parabolic SAR step=0.005, maxStep=0.3 |
8.1% | -45.6% | 0.43 | 0.18 | 2.1x | 76 | 56% |
| ROC 모멘텀 n=121, threshold=0.01 |
6.9% | -56.6% | 0.38 | 0.12 | 1.9x | 108 | 57% |
| Buy and hold | 20.4% | -57.3% | 0.69 | 0.36 | 6.1x | 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) — 26-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)