Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Hansoh Pharmaceutical Group Company Limited backtest
10 trend-following strategies were compared on the full daily history of Hansoh Pharmaceutical Group Company Limited. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.6%, MDD -27.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.2%, drawdown -79.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.0%, MDD -45.5%, Sharpe 0.58, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 7.6%, MDD -27.1%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=206 |
13.0% | -45.5% | 0.58 | 0.29 | 2.4x | 8 | 49% |
| 볼린저 밴드 돌파 n=46, k=3.2 |
7.6% | -27.1% | 0.53 | 0.28 | 1.7x | 8 | 13% |
| ROC 모멘텀 n=142, threshold=-0.01 |
9.6% | -52.2% | 0.46 | 0.18 | 1.9x | 60 | 55% |
| EMA 크로스오버 fast=40, slow=203 |
9.1% | -48.9% | 0.46 | 0.19 | 1.9x | 8 | 51% |
| Supertrend period=25, mult=2.6 |
8.5% | -48.1% | 0.42 | 0.18 | 1.8x | 45 | 47% |
| Donchian 채널 돌파 entryN=45, exitN=73 |
7.5% | -49.7% | 0.39 | 0.15 | 1.7x | 12 | 67% |
| MACD fast=16, slow=26, signal=19 |
4.1% | -70.9% | 0.29 | 0.06 | 1.3x | 83 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=9, mult=4 |
0.7% | -42.7% | 0.12 | 0.02 | 1.0x | 10 | 14% |
| ADX / DI 방향성 period=20, threshold=34 |
0.6% | -14.2% | 0.12 | 0.04 | 1.0x | 8 | 6% |
| Parabolic SAR step=0.035, maxStep=0.18 |
-8.3% | -83.7% | -0.11 | -0.10 | 0.5x | 201 | 50% |
| Buy and hold | 7.2% | -79.0% | 0.38 | 0.09 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 53-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 53-day average falls below the 206-day average