Trend-Following Backtester · Guide · backtest 한국어
equity · KR
파마리서치 backtest
10 trend-following strategies were compared on the full daily history of 파마리서치. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.6%, MDD -36.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 12.5%, drawdown -74.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 32.3%, MDD -48.2%, Sharpe 0.96, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.8%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 15.6%, MDD -36.2%, exposure 34%).
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=23, slow=96 |
32.3% | -48.2% | 0.96 | 0.67 | 22.4x | 21 | 51% |
| EMA 크로스오버 fast=43, slow=81 |
26.3% | -46.8% | 0.84 | 0.56 | 13.4x | 17 | 51% |
| Donchian 채널 돌파 entryN=83, exitN=38 |
22.3% | -37.8% | 0.77 | 0.59 | 9.3x | 17 | 45% |
| ROC 모멘텀 n=67, threshold=0.05 |
21.7% | -46.8% | 0.74 | 0.46 | 8.9x | 97 | 47% |
| Supertrend period=22, mult=3.9 |
20.6% | -39.0% | 0.71 | 0.53 | 8.0x | 35 | 49% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=35, mult=3 |
15.6% | -36.2% | 0.66 | 0.43 | 5.0x | 33 | 34% |
| 볼린저 밴드 돌파 n=55, k=0.9 |
16.5% | -46.3% | 0.63 | 0.36 | 5.5x | 59 | 45% |
| ADX / DI 방향성 period=30, threshold=15 |
13.4% | -42.4% | 0.58 | 0.32 | 4.0x | 70 | 37% |
| MACD fast=8, slow=69, signal=14 |
12.0% | -60.7% | 0.51 | 0.20 | 3.5x | 139 | 53% |
| Parabolic SAR step=0.005, maxStep=0.08 |
11.6% | -53.2% | 0.50 | 0.22 | 3.4x | 81 | 49% |
| Buy and hold | 12.5% | -74.2% | 0.49 | 0.17 | 3.7x | 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 23-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 23-day average falls below the 96-day average