Trend-Following Backtester · Guide · backtest 한국어
equity · KR
메지온 backtest
10 trend-following strategies were compared on the full daily history of 메지온. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.4%, MDD -62.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 14.4%, drawdown -85.0%).
Sharpe leader (same as main): Supertrend — CAGR 21.5%, MDD -66.5%, Sharpe 0.66, 59% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 17.4%, MDD -62.0%, exposure 58%).
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=10, mult=4.6 |
21.5% | -66.5% | 0.66 | 0.32 | 17.2x | 36 | 59% |
| SMA 크로스오버 fast=35, slow=110 |
17.8% | -66.1% | 0.59 | 0.27 | 11.0x | 32 | 53% |
| Donchian 채널 돌파 entryN=57, exitN=58 |
17.4% | -62.0% | 0.58 | 0.28 | 10.4x | 24 | 58% |
| EMA 크로스오버 fast=38, slow=71 |
15.7% | -63.9% | 0.55 | 0.25 | 8.5x | 32 | 53% |
| ROC 모멘텀 n=71, threshold=0 |
15.5% | -71.9% | 0.55 | 0.21 | 8.2x | 186 | 52% |
| MACD fast=9, slow=42, signal=18 |
10.7% | -59.2% | 0.45 | 0.18 | 4.4x | 207 | 51% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=19, mult=3.1 |
8.3% | -73.1% | 0.41 | 0.11 | 3.2x | 48 | 25% |
| ADX / DI 방향성 period=35, threshold=17 |
7.7% | -73.9% | 0.39 | 0.10 | 3.0x | 52 | 31% |
| 볼린저 밴드 돌파 n=55, k=1.5 |
7.0% | -76.8% | 0.37 | 0.09 | 2.7x | 91 | 38% |
| Parabolic SAR step=0.015, maxStep=0.28 |
4.5% | -60.7% | 0.32 | 0.07 | 1.9x | 233 | 45% |
| Buy and hold | 14.4% | -85.0% | 0.53 | 0.17 | 7.1x | 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) — 10-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)