Trend-Following Backtester · Guide · backtest 한국어
equity · KR
두산테스나 backtest
10 trend-following strategies were compared on the full daily history of 두산테스나. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 24.1%, MDD -52.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 19.5%, drawdown -72.8%).
Sharpe leader (same as main): Supertrend — CAGR 25.2%, MDD -61.8%, Sharpe 0.75, 55% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 25.5%, MDD -58.0%, exposure 60%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 11.0%p (CAGR 24.1%, MDD -52.3%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=5 |
25.2% | -61.8% | 0.75 | 0.41 | 17.6x | 34 | 55% |
| ADX / DI 방향성 period=36, threshold=8 |
25.5% | -58.0% | 0.74 | 0.44 | 18.2x | 118 | 60% |
| EMA 크로스오버 fast=13, slow=38 |
23.9% | -62.2% | 0.72 | 0.38 | 15.4x | 72 | 54% |
| ROC 모멘텀 n=78, threshold=0.04 |
24.1% | -52.3% | 0.72 | 0.46 | 15.8x | 88 | 53% |
| SMA 크로스오버 fast=11, slow=178 |
23.1% | -60.0% | 0.70 | 0.39 | 14.2x | 32 | 58% |
| Donchian 채널 돌파 entryN=41, exitN=75 |
22.9% | -57.8% | 0.68 | 0.40 | 14.0x | 22 | 65% |
| 볼린저 밴드 돌파 n=40, k=1.7 |
16.1% | -72.7% | 0.61 | 0.22 | 6.7x | 78 | 39% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=1.5 |
15.8% | -61.7% | 0.58 | 0.26 | 6.5x | 78 | 45% |
| Parabolic SAR step=0.005, maxStep=0.3 |
15.3% | -68.2% | 0.56 | 0.23 | 6.2x | 112 | 50% |
| MACD fast=10, slow=24, signal=18 |
13.3% | -71.3% | 0.52 | 0.19 | 4.9x | 186 | 52% |
| Buy and hold | 19.5% | -72.8% | 0.60 | 0.27 | 9.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)