Trend-Following Backtester · Guide · backtest 한국어
equity · KR
아모레퍼시픽홀딩스 backtest
10 trend-following strategies were compared on the full daily history of 아모레퍼시픽홀딩스. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.8%, MDD -67.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.7%, drawdown -90.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.8%, MDD -75.2%, Sharpe 0.62, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 15.7%p (CAGR 14.8%, MDD -67.7%, exposure 55%).
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=105 |
15.8% | -75.2% | 0.62 | 0.21 | 49.0x | 70 | 56% |
| ADX / DI 방향성 period=28, threshold=34 |
6.1% | -17.7% | 0.60 | 0.35 | 4.9x | 12 | 5% |
| EMA 크로스오버 fast=12, slow=99 |
14.8% | -67.7% | 0.59 | 0.22 | 39.5x | 82 | 55% |
| Supertrend period=12, mult=4.4 |
11.6% | -77.1% | 0.50 | 0.15 | 18.4x | 81 | 60% |
| ROC 모멘텀 n=99, threshold=0.01 |
10.8% | -89.4% | 0.48 | 0.12 | 15.4x | 214 | 56% |
| Donchian 채널 돌파 entryN=71, exitN=67 |
10.3% | -79.6% | 0.47 | 0.13 | 13.5x | 46 | 55% |
| 볼린저 밴드 돌파 n=55, k=2.1 |
6.7% | -69.0% | 0.38 | 0.10 | 5.6x | 98 | 36% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=35, mult=1 |
5.6% | -80.7% | 0.33 | 0.07 | 4.2x | 217 | 47% |
| Parabolic SAR step=0.005, maxStep=0.08 |
3.4% | -83.5% | 0.26 | 0.04 | 2.4x | 219 | 51% |
| MACD fast=13, slow=50, signal=19 |
-1.6% | -85.6% | 0.10 | -0.02 | 0.6x | 343 | 50% |
| Buy and hold | 11.7% | -90.9% | 0.47 | 0.13 | 18.9x | 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 105-day average
- Sell — Sell (to cash) when the 23-day average falls below the 105-day average