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 25.0%, MDD -27.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 16.1%, drawdown -76.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 25.0%, MDD -27.3%, Sharpe 1.14, 12% exposure.
CAGR reference leader: Parabolic SAR — CAGR 33.3%, MDD -43.9%, exposure 48%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 49.0%p (CAGR 25.0%, MDD -27.3%, exposure 12%).
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 |
25.0% | -27.3% | 1.14 | 0.91 | 15.9x | 46 | 12% |
| 볼린저 밴드 돌파 n=15, k=2.6 |
25.6% | -38.7% | 1.07 | 0.66 | 16.8x | 68 | 17% |
| Parabolic SAR step=0.02, maxStep=0.3 |
33.3% | -43.9% | 1.03 | 0.76 | 35.1x | 216 | 48% |
| Supertrend period=14, mult=3.1 |
31.1% | -48.3% | 0.98 | 0.64 | 28.7x | 82 | 48% |
| ROC 모멘텀 n=131, threshold=0.12 |
25.8% | -53.6% | 0.92 | 0.48 | 17.2x | 69 | 31% |
| SMA 크로스오버 fast=49, slow=128 |
26.3% | -57.8% | 0.88 | 0.45 | 18.0x | 19 | 43% |
| ADX / DI 방향성 period=5, threshold=35 |
21.1% | -59.8% | 0.80 | 0.35 | 10.7x | 268 | 32% |
| MACD fast=11, slow=33, signal=13 |
22.7% | -48.3% | 0.78 | 0.47 | 12.6x | 172 | 47% |
| Donchian 채널 돌파 entryN=61, exitN=61 |
21.8% | -61.6% | 0.77 | 0.35 | 11.5x | 19 | 45% |
| EMA 크로스오버 fast=53, slow=115 |
21.4% | -60.6% | 0.76 | 0.35 | 11.0x | 19 | 44% |
| Buy and hold | 16.1% | -76.3% | 0.56 | 0.21 | 6.4x | 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