Trend-Following Backtester · Guide · backtest 한국어
equity · KR
코스메카코리아 backtest
10 trend-following strategies were compared on the full daily history of 코스메카코리아. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.6%, MDD -27.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 17.2%, drawdown -86.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.6%, MDD -27.4%, Sharpe 0.88, 9% exposure.
CAGR reference leader: Supertrend — CAGR 29.4%, MDD -56.4%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 59.2%p (CAGR 17.6%, MDD -27.4%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=30, k=3.3 |
17.6% | -27.4% | 0.88 | 0.64 | 4.9x | 13 | 9% |
| Supertrend period=29, mult=4.3 |
29.4% | -56.4% | 0.83 | 0.52 | 12.6x | 25 | 55% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=10, mult=3 |
15.7% | -26.6% | 0.80 | 0.59 | 4.2x | 15 | 10% |
| EMA 크로스오버 fast=22, slow=86 |
21.9% | -62.5% | 0.69 | 0.35 | 7.0x | 35 | 53% |
| SMA 크로스오버 fast=59, slow=195 |
21.3% | -50.5% | 0.69 | 0.42 | 6.7x | 13 | 50% |
| Donchian 채널 돌파 entryN=74, exitN=68 |
18.7% | -52.7% | 0.64 | 0.35 | 5.4x | 13 | 46% |
| ROC 모멘텀 n=144, threshold=0.13 |
16.5% | -63.6% | 0.60 | 0.26 | 4.5x | 97 | 39% |
| ADX / DI 방향성 period=39, threshold=31 |
4.8% | -22.2% | 0.53 | 0.21 | 1.6x | 4 | 3% |
| MACD fast=19, slow=35, signal=18 |
13.2% | -69.5% | 0.51 | 0.19 | 3.4x | 115 | 49% |
| Parabolic SAR step=0.035, maxStep=0.22 |
1.8% | -61.9% | 0.24 | 0.03 | 1.2x | 275 | 49% |
| Buy and hold | 17.2% | -86.6% | 0.57 | 0.20 | 4.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 30-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 30-day middle average