Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한미약품 backtest
10 trend-following strategies were compared on the full daily history of 한미약품. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.1%, MDD -26.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.1%, drawdown -70.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.4%, MDD -33.7%, Sharpe 0.66, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.3%, MDD -61.0%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 11.1%, MDD -26.0%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=2.9 |
15.4% | -33.7% | 0.66 | 0.46 | 9.9x | 28 | 20% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=11, mult=2.4 |
11.1% | -26.0% | 0.63 | 0.43 | 5.4x | 44 | 9% |
| SMA 크로스오버 fast=76, slow=175 |
16.3% | -61.0% | 0.60 | 0.27 | 11.2x | 24 | 47% |
| ADX / DI 방향성 period=26, threshold=25 |
11.0% | -55.6% | 0.56 | 0.20 | 5.3x | 36 | 17% |
| ROC 모멘텀 n=129, threshold=0.14 |
13.1% | -65.4% | 0.55 | 0.20 | 7.2x | 110 | 33% |
| Donchian 채널 돌파 entryN=56, exitN=28 |
12.7% | -55.0% | 0.54 | 0.23 | 6.8x | 42 | 35% |
| EMA 크로스오버 fast=59, slow=129 |
12.7% | -70.5% | 0.52 | 0.18 | 6.8x | 22 | 49% |
| Supertrend period=26, mult=3.6 |
9.5% | -63.6% | 0.44 | 0.15 | 4.3x | 74 | 44% |
| Parabolic SAR step=0.02, maxStep=0.3 |
2.1% | -66.6% | 0.23 | 0.03 | 1.4x | 312 | 51% |
| MACD fast=14, slow=43, signal=7 |
-1.5% | -82.7% | 0.12 | -0.02 | 0.8x | 272 | 48% |
| Buy and hold | 11.1% | -70.5% | 0.46 | 0.16 | 5.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 54-day middle average