Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Park24 Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Park24 Co., Ltd.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.0%, drawdown -82.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.4%, MDD -71.2%, Sharpe 0.29, 52% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=45, slow=180 |
4.4% | -71.2% | 0.29 | 0.06 | 3.0x | 42 | 52% |
| EMA 크로스오버 fast=43, slow=179 |
2.0% | -74.6% | 0.22 | 0.03 | 1.7x | 49 | 55% |
| Donchian 채널 돌파 entryN=95, exitN=77 |
2.1% | -62.9% | 0.22 | 0.03 | 1.7x | 30 | 52% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=9, mult=3.5 |
1.0% | -54.5% | 0.14 | 0.02 | 1.3x | 76 | 18% |
| MACD fast=13, slow=34, signal=19 |
-0.8% | -62.6% | 0.09 | -0.01 | 0.8x | 342 | 50% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
-0.7% | -73.5% | 0.08 | -0.01 | 0.8x | 139 | 39% |
| ADX / DI 방향성 period=37, threshold=24 |
0.2% | -32.5% | 0.06 | 0.01 | 1.1x | 14 | 4% |
| ROC 모멘텀 n=90, threshold=0.08 |
-1.1% | -75.1% | 0.05 | -0.01 | 0.8x | 266 | 36% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-2.6% | -82.1% | 0.04 | -0.03 | 0.5x | 199 | 49% |
| Supertrend period=8, mult=4.3 |
-3.4% | -86.2% | 0.01 | -0.04 | 0.4x | 125 | 49% |
| Buy and hold | 4.0% | -82.8% | 0.30 | 0.05 | 2.7x | 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 45-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 45-day average falls below the 180-day average