Trend-Following Backtester · Guide · backtest 한국어
equity · KR
휴젤 backtest
10 trend-following strategies were compared on the full daily history of 휴젤. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.9%, MDD -44.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.1%, drawdown -62.6%).
Sharpe leader (same as main): Supertrend — CAGR 17.7%, MDD -46.6%, Sharpe 0.62, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 15.9%p (CAGR 12.9%, MDD -44.1%, exposure 55%).
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=8, mult=4.7 |
17.7% | -46.6% | 0.62 | 0.38 | 5.7x | 21 | 63% |
| SMA 크로스오버 fast=40, slow=67 |
12.9% | -44.1% | 0.52 | 0.29 | 3.7x | 34 | 55% |
| ADX / DI 방향성 period=28, threshold=26 |
7.4% | -37.3% | 0.49 | 0.20 | 2.1x | 10 | 14% |
| Donchian 채널 돌파 entryN=25, exitN=53 |
9.3% | -51.1% | 0.43 | 0.18 | 2.6x | 26 | 66% |
| EMA 크로스오버 fast=33, slow=35 |
7.4% | -53.5% | 0.38 | 0.14 | 2.1x | 41 | 56% |
| Keltner 채널 돌파 emaPeriod=101, atrPeriod=23, mult=3 |
6.3% | -41.0% | 0.36 | 0.15 | 1.9x | 24 | 38% |
| ROC 모멘텀 n=87, threshold=0.05 |
3.1% | -62.6% | 0.27 | 0.05 | 1.4x | 94 | 47% |
| 볼린저 밴드 돌파 n=53, k=2.4 |
-1.6% | -61.4% | 0.08 | -0.03 | 0.8x | 38 | 31% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.7% | -78.5% | -0.00 | -0.07 | 0.5x | 87 | 51% |
| MACD fast=15, slow=51, signal=18 |
-13.3% | -86.3% | -0.24 | -0.15 | 0.2x | 125 | 50% |
| Buy and hold | 13.1% | -62.6% | 0.50 | 0.21 | 3.7x | 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) — 8-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)