Trend-Following Backtester · Guide · backtest 한국어
equity · KR
솔브레인 backtest
10 trend-following strategies were compared on the full daily history of 솔브레인. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.9%, MDD -42.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.4%, drawdown -57.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.9%, MDD -42.1%, Sharpe 0.47, 35% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 15.5%p (CAGR 10.9%, MDD -42.1%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=127, threshold=0.12 |
10.9% | -42.1% | 0.47 | 0.26 | 1.9x | 38 | 35% |
| Supertrend period=8, mult=5 |
10.1% | -48.7% | 0.44 | 0.21 | 1.8x | 14 | 68% |
| SMA 크로스오버 fast=30, slow=53 |
9.6% | -46.6% | 0.43 | 0.20 | 1.7x | 28 | 53% |
| Donchian 채널 돌파 entryN=13, exitN=84 |
8.5% | -53.6% | 0.41 | 0.16 | 1.6x | 15 | 80% |
| EMA 크로스오버 fast=55, slow=74 |
6.4% | -47.7% | 0.35 | 0.13 | 1.5x | 12 | 51% |
| MACD fast=15, slow=89, signal=22 |
1.6% | -48.1% | 0.22 | 0.03 | 1.1x | 51 | 47% |
| ADX / DI 방향성 period=28, threshold=19 |
2.0% | -38.8% | 0.21 | 0.05 | 1.1x | 20 | 22% |
| 볼린저 밴드 돌파 n=58, k=1.5 |
0.9% | -42.4% | 0.19 | 0.02 | 1.1x | 30 | 40% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=10, mult=2.4 |
1.1% | -27.7% | 0.15 | 0.04 | 1.1x | 16 | 8% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-5.0% | -55.1% | 0.01 | -0.09 | 0.7x | 49 | 51% |
| Buy and hold | 4.4% | -57.6% | 0.34 | 0.08 | 1.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 127-day return is greater than 12%
- Sell — Sell when the 127-day return drops to 12% or below