Trend-Following Backtester · Guide · backtest 한국어
equity · KR
CJ대한통운 backtest
10 trend-following strategies were compared on the full daily history of CJ대한통운. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -38.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.4%, drawdown -92.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -68.3%, Sharpe 0.36, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 3.4%, MDD -38.6%, exposure 14%).
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=49, slow=215 |
7.0% | -68.3% | 0.36 | 0.10 | 6.1x | 34 | 50% |
| EMA 크로스오버 fast=13, slow=184 |
4.6% | -80.3% | 0.31 | 0.06 | 3.3x | 70 | 49% |
| Donchian 채널 돌파 entryN=89, exitN=69 |
3.6% | -87.4% | 0.28 | 0.04 | 2.5x | 36 | 45% |
| 볼린저 밴드 돌파 n=45, k=3.4 |
3.4% | -38.6% | 0.28 | 0.09 | 2.4x | 44 | 14% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=1.8 |
-0.7% | -90.2% | 0.14 | -0.01 | 0.8x | 136 | 35% |
| MACD fast=8, slow=29, signal=13 |
-2.4% | -96.2% | 0.13 | -0.03 | 0.5x | 479 | 51% |
| ROC 모멘텀 n=144, threshold=0.06 |
-2.2% | -93.7% | 0.11 | -0.02 | 0.6x | 246 | 41% |
| Parabolic SAR step=0.025, maxStep=0.1 |
-2.9% | -94.9% | 0.09 | -0.03 | 0.5x | 518 | 48% |
| ADX / DI 방향성 period=31, threshold=21 |
-1.4% | -71.4% | 0.06 | -0.02 | 0.7x | 68 | 14% |
| Supertrend period=14, mult=3.8 |
-7.6% | -95.7% | -0.00 | -0.08 | 0.1x | 130 | 54% |
| Buy and hold | 0.4% | -92.5% | 0.28 | 0.00 | 1.1x | 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 49-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 49-day average falls below the 215-day average