Trend-Following Backtester · Guide · backtest 한국어
equity · KR
하이트진로 backtest
10 trend-following strategies were compared on the full daily history of 하이트진로. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.8%, MDD -47.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.7%, drawdown -69.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -47.4%, Sharpe 0.20, 46% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 10.8%, MDD -47.4%, exposure 46%).
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=98, exitN=46 |
10.8% | -47.4% | 0.20 | 0.23 | 15.2x | 28 | 46% |
| EMA 크로스오버 fast=66, slow=111 |
7.8% | -57.1% | 0.19 | 0.14 | 7.4x | 36 | 29% |
| MACD fast=19, slow=36, signal=19 |
5.9% | -73.8% | 0.18 | 0.08 | 4.6x | 215 | 62% |
| ROC 모멘텀 n=136, threshold=-0.11 |
4.8% | -75.7% | 0.18 | 0.06 | 3.5x | 153 | 73% |
| Supertrend period=17, mult=3.6 |
3.4% | -68.4% | 0.18 | 0.05 | 2.4x | 96 | 60% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=22, mult=1.7 |
3.8% | -73.7% | 0.17 | 0.05 | 2.7x | 146 | 30% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
0.4% | -24.3% | 0.09 | 0.02 | 1.1x | 22 | 7% |
| SMA 크로스오버 fast=13, slow=96 |
-0.9% | -60.7% | 0.05 | -0.01 | 0.8x | 72 | 30% |
| ADX / DI 방향성 period=14, threshold=39 |
-0.4% | -33.8% | -0.02 | -0.01 | 0.9x | 28 | 4% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-6.9% | -86.4% | -0.27 | -0.08 | 0.1x | 271 | 34% |
| Buy and hold | 4.7% | -69.3% | 0.19 | 0.07 | 3.4x | 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 98 days
- Sell — Sell when price breaks below the lowest low of the last 46 days