Trend-Following Backtester · Guide · backtest 한국어
equity · KR
셀트리온제약 backtest
10 trend-following strategies were compared on the full daily history of 셀트리온제약. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.8%, MDD -62.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 16.0%, drawdown -81.7%).
Sharpe leader (same as main): Supertrend — CAGR 17.8%, MDD -62.8%, Sharpe 0.58, 46% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 17.8%, MDD -62.8%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=4, mult=1.7 |
17.8% | -62.8% | 0.58 | 0.28 | 34.9x | 265 | 46% |
| ADX / DI 방향성 period=8, threshold=32 |
16.6% | -67.5% | 0.58 | 0.25 | 27.9x | 270 | 26% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=13, mult=4 |
12.0% | -44.4% | 0.53 | 0.27 | 11.6x | 32 | 10% |
| Donchian 채널 돌파 entryN=119, exitN=6 |
10.9% | -44.7% | 0.51 | 0.24 | 9.5x | 44 | 9% |
| SMA 크로스오버 fast=56, slow=114 |
14.4% | -56.2% | 0.51 | 0.26 | 18.6x | 48 | 45% |
| Parabolic SAR step=0.015, maxStep=0.32 |
13.4% | -76.9% | 0.49 | 0.17 | 15.3x | 350 | 46% |
| 볼린저 밴드 돌파 n=16, k=3 |
9.6% | -57.4% | 0.47 | 0.17 | 7.2x | 70 | 10% |
| MACD fast=18, slow=44, signal=17 |
12.5% | -71.8% | 0.47 | 0.17 | 12.8x | 237 | 49% |
| ROC 모멘텀 n=107, threshold=0.14 |
10.0% | -65.0% | 0.42 | 0.15 | 7.8x | 138 | 33% |
| EMA 크로스오버 fast=56, slow=205 |
6.1% | -68.2% | 0.35 | 0.09 | 3.6x | 30 | 51% |
| Buy and hold | 16.0% | -81.7% | 0.54 | 0.20 | 24.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 4-day volatility, 1.7× band
- Sell — Sell when price drops below the trend line (flips down)