Trend-Following Backtester · Guide · backtest 한국어
equity · KR
동국제약 backtest
10 trend-following strategies were compared on the full daily history of 동국제약. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.3%, MDD -49.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.1%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -63.6%, Sharpe 0.50, 71% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 12.4%p (CAGR 7.3%, MDD -49.2%, exposure 57%).
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=16, exitN=43 |
11.5% | -63.6% | 0.50 | 0.18 | 8.1x | 59 | 71% |
| SMA 크로스오버 fast=50, slow=111 |
7.3% | -56.3% | 0.39 | 0.13 | 3.9x | 46 | 52% |
| EMA 크로스오버 fast=21, slow=204 |
7.3% | -49.2% | 0.39 | 0.15 | 3.9x | 40 | 57% |
| ROC 모멘텀 n=150, threshold=-0.08 |
6.3% | -47.1% | 0.35 | 0.13 | 3.3x | 151 | 70% |
| Supertrend period=29, mult=4 |
3.4% | -43.0% | 0.26 | 0.08 | 1.9x | 60 | 52% |
| ADX / DI 방향성 period=23, threshold=42 |
1.2% | -13.3% | 0.24 | 0.09 | 1.3x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=19, mult=2.9 |
0.9% | -45.7% | 0.14 | 0.02 | 1.2x | 52 | 19% |
| 볼린저 밴드 돌파 n=49, k=1.3 |
-0.1% | -53.6% | 0.12 | -0.00 | 1.0x | 125 | 37% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-1.3% | -79.5% | 0.09 | -0.02 | 0.8x | 149 | 50% |
| MACD fast=10, slow=28, signal=12 |
-3.7% | -70.0% | -0.01 | -0.05 | 0.5x | 329 | 50% |
| Buy and hold | 8.1% | -75.9% | 0.40 | 0.11 | 4.5x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 43 days