Trend-Following Backtester · Guide · backtest 한국어
equity · KR
유한양행 backtest
10 trend-following strategies were compared on the full daily history of 유한양행. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.1%, drawdown -59.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.6%, MDD -65.0%, Sharpe 0.37, 67% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=50, slow=287 |
6.6% | -65.0% | 0.37 | 0.10 | 5.4x | 40 | 67% |
| SMA 크로스오버 fast=53, slow=135 |
5.1% | -64.5% | 0.32 | 0.08 | 3.8x | 56 | 57% |
| Donchian 채널 돌파 entryN=55, exitN=71 |
5.0% | -62.9% | 0.32 | 0.08 | 3.7x | 48 | 64% |
| Supertrend period=23, mult=5 |
2.0% | -71.0% | 0.21 | 0.03 | 1.7x | 70 | 53% |
| ADX / DI 방향성 period=38, threshold=16 |
1.7% | -43.8% | 0.19 | 0.04 | 1.6x | 80 | 27% |
| ROC 모멘텀 n=90, threshold=-0.03 |
1.1% | -79.3% | 0.18 | 0.01 | 1.3x | 336 | 66% |
| Parabolic SAR step=0.01, maxStep=0.32 |
1.2% | -64.4% | 0.17 | 0.02 | 1.4x | 335 | 50% |
| MACD fast=18, slow=59, signal=23 |
-0.3% | -65.1% | 0.11 | -0.00 | 0.9x | 269 | 49% |
| 볼린저 밴드 돌파 n=59, k=2.5 |
-0.2% | -69.8% | 0.09 | -0.00 | 1.0x | 82 | 27% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=22, mult=1.4 |
-1.8% | -77.1% | 0.02 | -0.02 | 0.6x | 224 | 32% |
| Buy and hold | 12.1% | -59.4% | 0.50 | 0.20 | 20.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 50-day EMA crosses above the 287-day EMA
- Sell — Sell when the 50-day EMA falls below the 287-day EMA