Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대무벡스 backtest
10 trend-following strategies were compared on the full daily history of 현대무벡스. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 38.3%, MDD -49.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 38.3%, drawdown -62.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 44.3%, MDD -50.8%, Sharpe 0.92, 36% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 45.2%, MDD -60.0%, exposure 50%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 11.5%p (CAGR 38.3%, MDD -49.7%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=73, exitN=75 |
44.3% | -50.8% | 0.92 | 0.87 | 14.2x | 6 | 36% |
| SMA 크로스오버 fast=56, slow=162 |
45.2% | -60.0% | 0.91 | 0.75 | 14.8x | 7 | 50% |
| ROC 모멘텀 n=100, threshold=0.02 |
38.3% | -49.7% | 0.89 | 0.77 | 10.4x | 54 | 45% |
| MACD fast=17, slow=34, signal=19 |
31.8% | -69.1% | 0.86 | 0.46 | 7.3x | 71 | 46% |
| 볼린저 밴드 돌파 n=18, k=2.1 |
26.6% | -58.6% | 0.82 | 0.45 | 5.5x | 56 | 23% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=23, mult=2.6 |
24.4% | -42.7% | 0.81 | 0.57 | 4.9x | 20 | 13% |
| Supertrend period=4, mult=4.9 |
34.7% | -61.5% | 0.79 | 0.56 | 8.6x | 16 | 68% |
| EMA 크로스오버 fast=38, slow=98 |
31.1% | -53.2% | 0.78 | 0.59 | 7.1x | 16 | 47% |
| ADX / DI 방향성 period=35, threshold=14 |
27.3% | -62.7% | 0.71 | 0.44 | 5.7x | 38 | 62% |
| Parabolic SAR step=0.02, maxStep=0.12 |
17.3% | -66.5% | 0.58 | 0.26 | 3.2x | 121 | 49% |
| Buy and hold | 38.3% | -62.3% | 0.81 | 0.62 | 10.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 73 days
- Sell — Sell when price breaks below the lowest low of the last 75 days