Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK바이오사이언스 backtest
10 trend-following strategies were compared on the full daily history of SK바이오사이언스. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.4%, MDD -16.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.0%, drawdown -90.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.4%, MDD -16.5%, Sharpe 0.54, 2% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 34.4%p higher than buy and hold, while drawdown improves by 73.8%p (CAGR 8.4%, MDD -16.5%, exposure 2%).
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=18, k=3.5 |
8.4% | -16.5% | 0.54 | 0.51 | 1.5x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=8, mult=4 |
6.3% | -18.0% | 0.43 | 0.35 | 1.4x | 2 | 2% |
| Donchian 채널 돌파 entryN=81, exitN=4 |
6.0% | -22.6% | 0.40 | 0.27 | 1.4x | 6 | 3% |
| SMA 크로스오버 fast=42, slow=80 |
5.7% | -42.0% | 0.33 | 0.14 | 1.3x | 16 | 30% |
| ROC 모멘텀 n=86, threshold=0.13 |
1.2% | -49.8% | 0.17 | 0.02 | 1.1x | 28 | 12% |
| EMA 크로스오버 fast=38, slow=89 |
0.1% | -54.8% | 0.14 | 0.00 | 1.0x | 10 | 23% |
| ADX / DI 방향성 period=16, threshold=34 |
1.1% | -26.3% | 0.14 | 0.04 | 1.1x | 6 | 3% |
| Supertrend period=24, mult=4.2 |
-3.2% | -68.7% | 0.07 | -0.05 | 0.8x | 16 | 45% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-10.9% | -67.0% | -0.13 | -0.16 | 0.5x | 38 | 45% |
| MACD fast=16, slow=24, signal=17 |
-11.1% | -71.3% | -0.15 | -0.16 | 0.5x | 70 | 46% |
| Buy and hold | -26.0% | -90.3% | -0.34 | -0.29 | 0.2x | 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 18-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 18-day middle average