Trend-Following Backtester · Guide · backtest 한국어
equity · KR
에코프로비엠 backtest
10 trend-following strategies were compared on the full daily history of 에코프로비엠. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 42.8%, MDD -43.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 29.0%, drawdown -82.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 45.6%, MDD -71.7%, Sharpe 1.09, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 10.7%p (CAGR 42.8%, MDD -43.6%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=10, slow=23 |
45.6% | -71.7% | 1.09 | 0.64 | 16.2x | 74 | 51% |
| Donchian 채널 돌파 entryN=69, exitN=41 |
42.8% | -43.6% | 1.04 | 0.98 | 14.0x | 12 | 44% |
| ROC 모멘텀 n=83, threshold=0.06 |
39.8% | -57.5% | 0.98 | 0.69 | 12.0x | 48 | 48% |
| Supertrend period=21, mult=1.6 |
38.4% | -62.4% | 0.97 | 0.61 | 11.1x | 112 | 50% |
| ADX / DI 방향성 period=26, threshold=15 |
37.4% | -54.9% | 0.96 | 0.68 | 10.5x | 42 | 46% |
| EMA 크로스오버 fast=34, slow=47 |
38.7% | -64.2% | 0.94 | 0.60 | 11.3x | 20 | 54% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=24, mult=3.5 |
24.5% | -48.3% | 0.88 | 0.51 | 5.1x | 22 | 21% |
| 볼린저 밴드 돌파 n=37, k=2.4 |
24.4% | -61.7% | 0.81 | 0.40 | 5.0x | 28 | 29% |
| MACD fast=6, slow=31, signal=20 |
29.7% | -71.2% | 0.81 | 0.42 | 6.9x | 119 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
17.4% | -59.6% | 0.59 | 0.29 | 3.3x | 124 | 52% |
| Buy and hold | 29.0% | -82.4% | 0.72 | 0.35 | 6.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 10-day average price crosses above the 23-day average
- Sell — Sell (to cash) when the 10-day average falls below the 23-day average