Trend-Following Backtester · Guide · backtest 한국어
equity · KR
코미코 backtest
10 trend-following strategies were compared on the full daily history of 코미코. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 17.4%, MDD -49.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 18.5%, drawdown -66.3%).
Sharpe leader (same as main): MACD — CAGR 17.4%, MDD -49.1%, Sharpe 0.61, 47% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.5%, MDD -61.6%, exposure 79%.
Return/drawdown alternative: MACD — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 17.2%p (CAGR 17.4%, MDD -49.1%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=16, slow=70, signal=22 |
17.4% | -49.1% | 0.61 | 0.35 | 4.5x | 84 | 47% |
| Donchian 채널 돌파 entryN=17, exitN=63 |
18.5% | -61.6% | 0.60 | 0.30 | 4.9x | 24 | 79% |
| Parabolic SAR step=0.005, maxStep=0.22 |
16.3% | -66.4% | 0.58 | 0.24 | 4.1x | 76 | 49% |
| EMA 크로스오버 fast=23, slow=38 |
16.0% | -59.7% | 0.56 | 0.27 | 4.0x | 46 | 56% |
| Supertrend period=14, mult=3.6 |
15.6% | -57.1% | 0.56 | 0.27 | 3.9x | 40 | 59% |
| SMA 크로스오버 fast=10, slow=45 |
13.8% | -69.1% | 0.52 | 0.20 | 3.4x | 62 | 53% |
| ROC 모멘텀 n=25, threshold=0.09 |
12.1% | -44.4% | 0.50 | 0.27 | 2.9x | 154 | 33% |
| 볼린저 밴드 돌파 n=34, k=1.5 |
10.4% | -58.5% | 0.46 | 0.18 | 2.5x | 76 | 38% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=10, mult=1.4 |
10.2% | -38.3% | 0.45 | 0.27 | 2.5x | 80 | 36% |
| ADX / DI 방향성 period=13, threshold=22 |
9.9% | -48.6% | 0.44 | 0.20 | 2.4x | 96 | 39% |
| Buy and hold | 18.5% | -66.3% | 0.59 | 0.28 | 4.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (16/70) crosses above its 22-day signal line
- Sell — Sell when the MACD line crosses back below the signal line