Trend-Following Backtester · Guide · backtest 한국어
equity · KR
원익홀딩스 backtest
10 trend-following strategies were compared on the full daily history of 원익홀딩스. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.3%, MDD -33.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.8%, drawdown -95.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.2%, MDD -72.6%, Sharpe 0.56, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.4%p higher than buy and hold, while drawdown improves by 23.3%p (CAGR 8.3%, MDD -33.1%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=39, exitN=38 |
19.2% | -72.6% | 0.56 | 0.27 | 105.2x | 68 | 48% |
| ROC 모멘텀 n=92, threshold=-0.04 |
16.8% | -70.9% | 0.52 | 0.24 | 61.3x | 216 | 55% |
| SMA 크로스오버 fast=45, slow=91 |
16.8% | -62.1% | 0.52 | 0.27 | 60.8x | 54 | 50% |
| EMA 크로스오버 fast=22, slow=38 |
13.6% | -75.7% | 0.51 | 0.18 | 29.3x | 118 | 48% |
| ADX / DI 방향성 period=37, threshold=28 |
8.3% | -33.1% | 0.49 | 0.25 | 8.3x | 8 | 5% |
| 볼린저 밴드 돌파 n=52, k=2.8 |
9.7% | -58.3% | 0.44 | 0.17 | 11.5x | 56 | 20% |
| Supertrend period=18, mult=5 |
10.8% | -63.7% | 0.42 | 0.17 | 15.2x | 74 | 50% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=12, mult=2.4 |
7.9% | -70.1% | 0.40 | 0.11 | 7.4x | 102 | 14% |
| MACD fast=17, slow=26, signal=17 |
4.7% | -80.8% | 0.31 | 0.06 | 3.4x | 360 | 50% |
| Parabolic SAR step=0.03, maxStep=0.1 |
-0.2% | -95.9% | 0.21 | -0.00 | 1.0x | 564 | 48% |
| Buy and hold | 3.8% | -95.8% | 0.37 | 0.04 | 2.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 39 days
- Sell — Sell when price breaks below the lowest low of the last 38 days