Trend-Following Backtester · Guide · backtest 한국어
equity · TW
PharmaEssentia Corp. backtest
10 trend-following strategies were compared on the full daily history of PharmaEssentia Corp.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 24.8%, MDD -27.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 18.6%, drawdown -76.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 24.8%, MDD -27.3%, Sharpe 1.13, 11% exposure.
CAGR reference leader: Parabolic SAR — CAGR 34.4%, MDD -43.9%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 49.0%p (CAGR 24.8%, MDD -27.3%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=21, mult=2.4 |
24.8% | -27.3% | 1.13 | 0.91 | 15.9x | 46 | 11% |
| 볼린저 밴드 돌파 n=15, k=2.6 |
25.4% | -38.7% | 1.06 | 0.65 | 16.8x | 68 | 17% |
| Parabolic SAR step=0.02, maxStep=0.3 |
34.4% | -43.9% | 1.05 | 0.79 | 40.1x | 217 | 49% |
| Supertrend period=14, mult=3.1 |
31.3% | -48.3% | 0.97 | 0.65 | 29.8x | 83 | 48% |
| ROC 모멘텀 n=131, threshold=0.12 |
28.4% | -53.6% | 0.97 | 0.53 | 22.6x | 69 | 32% |
| SMA 크로스오버 fast=49, slow=128 |
28.9% | -57.8% | 0.93 | 0.50 | 23.7x | 19 | 43% |
| Donchian 채널 돌파 entryN=61, exitN=61 |
24.3% | -61.6% | 0.82 | 0.39 | 15.1x | 19 | 45% |
| EMA 크로스오버 fast=53, slow=115 |
23.9% | -60.6% | 0.82 | 0.39 | 14.5x | 19 | 44% |
| ADX / DI 방향성 period=5, threshold=35 |
21.3% | -59.8% | 0.80 | 0.36 | 11.1x | 269 | 33% |
| MACD fast=11, slow=33, signal=13 |
22.9% | -48.3% | 0.79 | 0.47 | 13.1x | 173 | 47% |
| Buy and hold | 18.6% | -76.3% | 0.61 | 0.24 | 8.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 10-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average