Trend-Following Backtester · Guide · backtest 한국어
equity · ES
Pharma Mar SA backtest
10 trend-following strategies were compared on the full daily history of Pharma Mar SA. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.6%, MDD -45.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.6%, drawdown -96.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.7%, MDD -59.0%, Sharpe 0.40, 26% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 37.4%p (CAGR 5.6%, MDD -45.6%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=8, mult=1.9 |
7.7% | -59.0% | 0.40 | 0.13 | 6.8x | 149 | 26% |
| Donchian 채널 돌파 entryN=95, exitN=7 |
5.6% | -45.6% | 0.37 | 0.12 | 4.1x | 66 | 13% |
| MACD fast=17, slow=38, signal=19 |
6.6% | -77.1% | 0.35 | 0.09 | 5.3x | 261 | 51% |
| 볼린저 밴드 돌파 n=28, k=2.4 |
5.4% | -72.2% | 0.33 | 0.08 | 3.9x | 140 | 25% |
| Supertrend period=36, mult=2.2 |
4.6% | -83.2% | 0.30 | 0.06 | 3.2x | 239 | 45% |
| SMA 크로스오버 fast=32, slow=288 |
2.7% | -80.1% | 0.24 | 0.03 | 2.0x | 40 | 40% |
| EMA 크로스오버 fast=57, slow=181 |
2.3% | -75.2% | 0.23 | 0.03 | 1.8x | 36 | 40% |
| ROC 모멘텀 n=25, threshold=0.08 |
0.9% | -69.4% | 0.17 | 0.01 | 1.3x | 380 | 26% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.8% | -93.1% | 0.09 | -0.03 | 0.5x | 393 | 47% |
| ADX / DI 방향성 period=16, threshold=11 |
-2.9% | -90.8% | 0.08 | -0.03 | 0.5x | 472 | 48% |
| Buy and hold | -3.6% | -96.4% | 0.17 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 27-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 27-day average