Trend-Following Backtester · Guide · backtest 한국어
equity · KR
엘앤씨바이오 backtest
10 trend-following strategies were compared on the full daily history of 엘앤씨바이오. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 30.3%, MDD -40.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 25.3%, drawdown -70.6%).
Sharpe leader (same as main): Supertrend — CAGR 40.7%, MDD -54.8%, Sharpe 1.04, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 30.3%, MDD -40.5%, exposure 39%).
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=19, mult=2.1 |
40.7% | -54.8% | 1.04 | 0.74 | 14.1x | 68 | 44% |
| SMA 크로스오버 fast=65, slow=129 |
36.4% | -57.8% | 0.90 | 0.63 | 11.1x | 12 | 50% |
| EMA 크로스오버 fast=13, slow=56 |
34.2% | -47.3% | 0.86 | 0.72 | 9.8x | 42 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=20, mult=1.5 |
30.3% | -40.5% | 0.84 | 0.75 | 7.8x | 40 | 39% |
| Parabolic SAR step=0.02, maxStep=0.2 |
28.4% | -52.7% | 0.81 | 0.54 | 6.9x | 146 | 48% |
| ROC 모멘텀 n=81, threshold=-0.01 |
31.0% | -56.3% | 0.81 | 0.55 | 8.1x | 78 | 54% |
| 볼린저 밴드 돌파 n=11, k=1.4 |
24.5% | -56.7% | 0.77 | 0.43 | 5.5x | 138 | 35% |
| Donchian 채널 돌파 entryN=38, exitN=74 |
28.7% | -61.5% | 0.75 | 0.47 | 7.1x | 14 | 70% |
| ADX / DI 방향성 period=19, threshold=11 |
26.9% | -58.3% | 0.75 | 0.46 | 6.3x | 94 | 56% |
| MACD fast=9, slow=23, signal=10 |
24.4% | -70.4% | 0.73 | 0.35 | 5.4x | 158 | 49% |
| Buy and hold | 25.3% | -70.6% | 0.68 | 0.36 | 5.7x | 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) — 19-day volatility, 2.1× band
- Sell — Sell when price drops below the trend line (flips down)