Trend-Following Backtester · Guide · backtest 한국어
equity · KR
주성엔지니어링 backtest
10 trend-following strategies were compared on the full daily history of 주성엔지니어링. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.4%, MDD -61.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.9%, drawdown -97.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.5%, MDD -73.3%, Sharpe 0.61, 50% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 19.8%, MDD -67.9%, exposure 58%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 14.4%, MDD -61.0%, exposure 17%).
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=14, slow=61 |
19.5% | -73.3% | 0.61 | 0.27 | 114.1x | 114 | 50% |
| Donchian 채널 돌파 entryN=31, exitN=55 |
19.8% | -67.9% | 0.61 | 0.29 | 120.5x | 68 | 58% |
| EMA 크로스오버 fast=13, slow=66 |
19.0% | -65.9% | 0.61 | 0.29 | 101.1x | 95 | 49% |
| ADX / DI 방향성 period=31, threshold=23 |
14.4% | -61.0% | 0.57 | 0.24 | 35.3x | 42 | 17% |
| 볼린저 밴드 돌파 n=52, k=1.2 |
15.5% | -72.3% | 0.55 | 0.21 | 46.1x | 138 | 38% |
| ROC 모멘텀 n=43, threshold=0 |
15.1% | -80.5% | 0.53 | 0.19 | 41.9x | 379 | 50% |
| Supertrend period=23, mult=5 |
14.1% | -84.8% | 0.51 | 0.17 | 33.2x | 66 | 52% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=17, mult=1.4 |
12.5% | -74.7% | 0.49 | 0.17 | 23.0x | 160 | 39% |
| Parabolic SAR step=0.015, maxStep=0.38 |
5.7% | -85.4% | 0.34 | 0.07 | 4.4x | 439 | 47% |
| MACD fast=6, slow=56, signal=16 |
2.4% | -85.7% | 0.28 | 0.03 | 1.9x | 463 | 51% |
| Buy and hold | 3.9% | -97.9% | 0.38 | 0.04 | 2.8x | 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 14-day average price crosses above the 61-day average
- Sell — Sell (to cash) when the 14-day average falls below the 61-day average