Trend-Following Backtester · Guide · backtest 한국어
equity · KR
에이비엘바이오 backtest
10 trend-following strategies were compared on the full daily history of 에이비엘바이오. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 22.1%, MDD -51.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.2%, drawdown -75.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.1%, MDD -51.3%, Sharpe 0.64, 42% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p lower than buy and hold, while drawdown improves by 24.0%p (CAGR 22.1%, MDD -51.3%, exposure 42%).
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=120, exitN=75 |
22.1% | -51.3% | 0.64 | 0.43 | 4.7x | 6 | 42% |
| SMA 크로스오버 fast=29, slow=198 |
19.9% | -64.1% | 0.60 | 0.31 | 4.0x | 16 | 51% |
| EMA 크로스오버 fast=37, slow=41 |
15.8% | -71.9% | 0.54 | 0.22 | 3.1x | 30 | 53% |
| Supertrend period=4, mult=4 |
10.7% | -73.8% | 0.46 | 0.14 | 2.2x | 33 | 63% |
| ROC 모멘텀 n=142, threshold=-0.01 |
9.3% | -66.5% | 0.43 | 0.14 | 2.0x | 50 | 54% |
| ADX / DI 방향성 period=29, threshold=22 |
9.6% | -52.7% | 0.43 | 0.18 | 2.0x | 14 | 22% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=11, mult=4 |
1.6% | -7.5% | 0.31 | 0.21 | 1.1x | 2 | 1% |
| MACD fast=15, slow=18, signal=14 |
1.7% | -64.7% | 0.29 | 0.03 | 1.1x | 130 | 49% |
| 볼린저 밴드 돌파 n=17, k=2 |
-2.0% | -61.0% | 0.16 | -0.03 | 0.9x | 84 | 27% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-7.0% | -72.2% | 0.10 | -0.10 | 0.6x | 168 | 48% |
| Buy and hold | 24.2% | -75.2% | 0.66 | 0.32 | 5.3x | 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 120 days
- Sell — Sell when price breaks below the lowest low of the last 75 days