Trend-Following Backtester · Guide · backtest 한국어
equity · JP
COSMOS Pharmaceutical Corporation backtest
10 trend-following strategies were compared on the full daily history of COSMOS Pharmaceutical Corporation. 0 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 13.3%, MDD -44.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.9%, drawdown -80.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -44.8%, Sharpe 0.72, 36% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.1%, MDD -55.0%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 36.0%p (CAGR 13.3%, MDD -44.8%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=68, exitN=26 |
13.3% | -44.8% | 0.72 | 0.30 | 15.1x | 51 | 36% |
| SMA 크로스오버 fast=50, slow=103 |
14.1% | -55.0% | 0.64 | 0.26 | 17.8x | 55 | 55% |
| 볼린저 밴드 돌파 n=63, k=1.4 |
11.4% | -52.0% | 0.61 | 0.22 | 10.5x | 83 | 42% |
| EMA 크로스오버 fast=56, slow=83 |
12.4% | -69.5% | 0.57 | 0.18 | 12.8x | 40 | 61% |
| ROC 모멘텀 n=142, threshold=0 |
11.3% | -55.4% | 0.54 | 0.20 | 10.3x | 108 | 60% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=14, mult=2.5 |
8.4% | -52.7% | 0.49 | 0.16 | 5.8x | 106 | 38% |
| ADX / DI 방향성 period=30, threshold=18 |
7.1% | -41.2% | 0.48 | 0.17 | 4.5x | 86 | 27% |
| Supertrend period=9, mult=3.4 |
8.8% | -57.0% | 0.47 | 0.15 | 6.2x | 153 | 56% |
| Parabolic SAR step=0.015, maxStep=0.16 |
4.0% | -60.7% | 0.29 | 0.07 | 2.4x | 364 | 53% |
| MACD fast=21, slow=33, signal=16 |
2.2% | -71.5% | 0.21 | 0.03 | 1.6x | 267 | 51% |
| Buy and hold | 14.9% | -80.8% | 0.58 | 0.18 | 20.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 68 days
- Sell — Sell when price breaks below the lowest low of the last 26 days