Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK바이오팜 backtest
10 trend-following strategies were compared on the full daily history of SK바이오팜. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -11.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.0%, drawdown -76.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -11.2%, Sharpe 0.30, 3% exposure.
CAGR reference leader: Parabolic SAR — CAGR 2.8%, MDD -56.0%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 64.9%p (CAGR 1.7%, MDD -11.2%, exposure 3%).
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=32, threshold=25 |
1.7% | -11.2% | 0.30 | 0.15 | 1.1x | 6 | 3% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
1.9% | -13.2% | 0.26 | 0.14 | 1.1x | 2 | 4% |
| Parabolic SAR step=0.015, maxStep=0.36 |
2.8% | -56.0% | 0.24 | 0.05 | 1.2x | 93 | 47% |
| SMA 크로스오버 fast=30, slow=212 |
1.6% | -32.1% | 0.19 | 0.05 | 1.1x | 6 | 34% |
| MACD fast=18, slow=40, signal=15 |
1.1% | -46.8% | 0.18 | 0.02 | 1.1x | 57 | 49% |
| EMA 크로스오버 fast=40, slow=162 |
0.9% | -30.7% | 0.16 | 0.03 | 1.1x | 6 | 34% |
| Donchian 채널 돌파 entryN=98, exitN=66 |
0.8% | -33.1% | 0.15 | 0.03 | 1.1x | 6 | 32% |
| ROC 모멘텀 n=147, threshold=0.08 |
-1.2% | -31.9% | 0.06 | -0.04 | 0.9x | 28 | 29% |
| Supertrend period=26, mult=4.1 |
-5.9% | -52.8% | -0.09 | -0.11 | 0.7x | 24 | 44% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=1.4 |
-5.8% | -37.8% | -0.22 | -0.15 | 0.7x | 57 | 27% |
| Buy and hold | -6.0% | -76.1% | 0.08 | -0.08 | 0.7x | 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, 32-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)