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 30.0%, MDD -40.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 24.9%, drawdown -70.6%).
Sharpe leader (same as main): Supertrend — CAGR 35.4%, MDD -54.8%, Sharpe 0.94, 44% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 35.9%, MDD -57.8%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 30.0%, MDD -40.5%, exposure 38%).
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 |
35.4% | -54.8% | 0.94 | 0.65 | 10.7x | 70 | 44% |
| SMA 크로스오버 fast=65, slow=129 |
35.9% | -57.8% | 0.90 | 0.62 | 11.1x | 12 | 50% |
| EMA 크로스오버 fast=13, slow=56 |
33.8% | -47.3% | 0.86 | 0.71 | 9.8x | 42 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=20, mult=1.5 |
30.0% | -40.5% | 0.84 | 0.74 | 7.8x | 40 | 38% |
| ROC 모멘텀 n=81, threshold=-0.01 |
30.6% | -56.3% | 0.80 | 0.54 | 8.1x | 78 | 53% |
| Parabolic SAR step=0.02, maxStep=0.2 |
26.1% | -52.7% | 0.77 | 0.50 | 6.2x | 148 | 48% |
| Donchian 채널 돌파 entryN=38, exitN=74 |
28.3% | -61.5% | 0.75 | 0.46 | 7.1x | 14 | 69% |
| ADX / DI 방향성 period=19, threshold=11 |
26.6% | -58.3% | 0.74 | 0.46 | 6.3x | 94 | 55% |
| 볼린저 밴드 돌파 n=11, k=1.4 |
22.2% | -56.7% | 0.72 | 0.39 | 4.8x | 140 | 34% |
| MACD fast=9, slow=23, signal=10 |
22.0% | -70.4% | 0.68 | 0.31 | 4.7x | 161 | 49% |
| Buy and hold | 24.9% | -70.6% | 0.68 | 0.35 | 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)