Trend-Following Backtester · Guide · backtest 한국어
equity · KR
태성 backtest
10 trend-following strategies were compared on the full daily history of 태성. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 77.3%, MDD -43.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 42.9%, drawdown -73.2%).
Sharpe leader (same as main): Supertrend — CAGR 77.3%, MDD -43.0%, Sharpe 1.28, 51% exposure.
Return/drawdown alternative: Supertrend — CAGR is 34.4%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 77.3%, MDD -43.0%, exposure 51%).
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=10, mult=2.6 |
77.3% | -43.0% | 1.28 | 1.80 | 61.3x | 35 | 51% |
| Parabolic SAR step=0.01, maxStep=0.08 |
68.8% | -45.3% | 1.21 | 1.52 | 43.1x | 81 | 45% |
| Donchian 채널 돌파 entryN=9, exitN=44 |
64.3% | -50.5% | 1.06 | 1.27 | 35.5x | 23 | 76% |
| MACD fast=10, slow=56, signal=20 |
52.8% | -56.8% | 1.04 | 0.93 | 21.0x | 67 | 49% |
| ADX / DI 방향성 period=15, threshold=12 |
56.4% | -54.2% | 1.01 | 1.04 | 24.9x | 89 | 61% |
| SMA 크로스오버 fast=12, slow=28 |
47.0% | -48.8% | 0.94 | 0.96 | 15.9x | 71 | 50% |
| ROC 모멘텀 n=123, threshold=0.02 |
46.4% | -59.9% | 0.89 | 0.77 | 15.5x | 42 | 56% |
| 볼린저 밴드 돌파 n=38, k=1.5 |
39.3% | -51.4% | 0.86 | 0.76 | 10.8x | 55 | 38% |
| EMA 크로스오버 fast=49, slow=219 |
36.4% | -77.2% | 0.79 | 0.47 | 9.3x | 6 | 59% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=16, mult=1.2 |
32.1% | -57.3% | 0.77 | 0.56 | 7.4x | 57 | 40% |
| Buy and hold | 42.9% | -73.2% | 0.85 | 0.59 | 13.0x | 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) — 10-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)