Trend-Following Backtester · Guide · backtest 한국어
equity · KR
와이씨 backtest
10 trend-following strategies were compared on the full daily history of 와이씨. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 27.4%, MDD -37.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 17.1%, drawdown -76.6%).
Sharpe leader (same as main): Supertrend — CAGR 31.3%, MDD -56.1%, Sharpe 0.80, 61% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 20.5%p (CAGR 27.4%, MDD -37.3%, exposure 36%).
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=6, mult=4.6 |
31.3% | -56.1% | 0.80 | 0.56 | 18.3x | 23 | 61% |
| ADX / DI 방향성 period=27, threshold=22 |
27.4% | -37.3% | 0.79 | 0.73 | 13.3x | 26 | 36% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=2.4 |
18.3% | -37.9% | 0.79 | 0.48 | 6.0x | 28 | 10% |
| SMA 크로스오버 fast=13, slow=80 |
29.3% | -50.5% | 0.78 | 0.58 | 15.5x | 28 | 53% |
| Donchian 채널 돌파 entryN=34, exitN=41 |
26.8% | -59.4% | 0.74 | 0.45 | 12.7x | 21 | 53% |
| 볼린저 밴드 돌파 n=12, k=3.3 |
3.4% | -5.2% | 0.73 | 0.65 | 1.4x | 2 | 1% |
| EMA 크로스오버 fast=24, slow=43 |
25.7% | -63.2% | 0.72 | 0.41 | 11.6x | 38 | 52% |
| ROC 모멘텀 n=73, threshold=0.09 |
20.2% | -48.2% | 0.64 | 0.42 | 7.1x | 78 | 39% |
| Parabolic SAR step=0.025, maxStep=0.08 |
19.9% | -61.6% | 0.64 | 0.32 | 6.9x | 185 | 47% |
| MACD fast=11, slow=58, signal=11 |
13.2% | -66.9% | 0.51 | 0.20 | 3.8x | 157 | 48% |
| Buy and hold | 17.1% | -76.6% | 0.56 | 0.22 | 5.4x | 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) — 6-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)