Trend-Following Backtester · Guide · backtest 한국어

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Hikma Pharmaceuticals Plc backtest

10 trend-following strategies were compared on the full daily history of Hikma Pharmaceuticals Plc. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.7%, MDD -50.9%).

Data 2005-11-01 ~ 2026-07-31daily bars 5,244 (20.7 years)Costs 0.5%Venue LSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 8.6%, drawdown -68.0%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.7%, MDD -50.9%, Sharpe 0.45, 76% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 17.1%p (CAGR 8.7%, MDD -50.9%, exposure 76%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=20, exitN=52
8.7%-50.9%0.450.175.7x5776%
Supertrend
period=13, mult=5
6.8%-50.1%0.410.143.9x6355%
EMA 크로스오버
fast=19, slow=93
6.7%-45.5%0.400.153.8x6358%
SMA 크로스오버
fast=23, slow=108
5.7%-49.6%0.360.123.2x5756%
Keltner 채널 돌파
emaPeriod=14, atrPeriod=19, mult=3.3
1.5%-14.0%0.260.101.4x205%
볼린저 밴드 돌파
n=58, k=1.5
2.8%-45.9%0.240.061.8x9942%
ADX / DI 방향성
period=35, threshold=20
2.0%-27.7%0.230.071.5x6618%
ROC 모멘텀
n=110, threshold=0.02
1.8%-57.8%0.190.031.5x15654%
MACD
fast=19, slow=48, signal=19
-1.0%-68.8%0.07-0.010.8x21350%
Parabolic SAR
step=0.005, maxStep=0.18
-1.6%-71.2%0.04-0.020.7x18452%
Buy and hold8.6%-68.0%0.420.135.5x1100%
1x 2006 2009 2012 2015 2018 2021 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -51% -68% 2006 2009 2012 2015 2018 2021 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -50.9% (2024-02-22 → 2026-04-07), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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