Trend-Following Backtester · Guide · backtest 한국어
equity · KR
두산우 backtest
10 trend-following strategies were compared on the full daily history of 두산우. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.6%, MDD -49.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.2%, drawdown -89.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 23.6%, MDD -49.9%, Sharpe 0.86, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 23.6%, MDD -49.9%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=18, k=1.8 |
23.6% | -49.9% | 0.86 | 0.47 | 281.2x | 264 | 34% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=10, mult=1.3 |
20.1% | -51.0% | 0.77 | 0.39 | 130.7x | 226 | 31% |
| Supertrend period=12, mult=1.5 |
21.6% | -64.0% | 0.76 | 0.34 | 183.7x | 381 | 49% |
| MACD fast=6, slow=54, signal=7 |
20.8% | -61.3% | 0.74 | 0.34 | 155.7x | 545 | 50% |
| ROC 모멘텀 n=219, threshold=-0.06 |
20.7% | -63.5% | 0.70 | 0.33 | 150.6x | 105 | 70% |
| EMA 크로스오버 fast=6, slow=145 |
19.0% | -58.4% | 0.69 | 0.33 | 103.0x | 106 | 54% |
| Parabolic SAR step=0.02, maxStep=0.24 |
19.0% | -59.3% | 0.69 | 0.32 | 102.9x | 484 | 50% |
| SMA 크로스오버 fast=7, slow=218 |
18.4% | -60.8% | 0.66 | 0.30 | 90.2x | 74 | 59% |
| Donchian 채널 돌파 entryN=86, exitN=6 |
13.1% | -41.9% | 0.66 | 0.31 | 26.8x | 102 | 16% |
| ADX / DI 방향성 period=6, threshold=25 |
17.6% | -57.0% | 0.65 | 0.31 | 75.9x | 668 | 44% |
| Buy and hold | 15.2% | -89.7% | 0.54 | 0.17 | 43.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 18-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 18-day middle average