Trend-Following Backtester · Guide · backtest 한국어
equity · KR
DL backtest
10 trend-following strategies were compared on the full daily history of DL. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 2.4%, drawdown -89.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.0%, MDD -92.9%, Sharpe 0.28, 77% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=118, threshold=-0.15 |
3.0% | -92.9% | 0.28 | 0.03 | 2.2x | 163 | 77% |
| SMA 크로스오버 fast=50, slow=177 |
0.6% | -86.6% | 0.19 | 0.01 | 1.2x | 51 | 53% |
| Donchian 채널 돌파 entryN=68, exitN=79 |
0.2% | -91.3% | 0.18 | 0.00 | 1.0x | 45 | 53% |
| EMA 크로스오버 fast=20, slow=273 |
-0.6% | -94.5% | 0.15 | -0.01 | 0.8x | 58 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-0.8% | -89.5% | 0.15 | -0.01 | 0.8x | 336 | 51% |
| Supertrend period=9, mult=2.7 |
-1.4% | -92.7% | 0.13 | -0.01 | 0.7x | 204 | 51% |
| MACD fast=7, slow=31, signal=9 |
-3.3% | -88.8% | 0.08 | -0.04 | 0.4x | 596 | 51% |
| 볼린저 밴드 돌파 n=68, k=2.5 |
-1.3% | -62.6% | 0.05 | -0.02 | 0.7x | 64 | 23% |
| ADX / DI 방향성 period=41, threshold=21 |
-0.6% | -49.0% | 0.04 | -0.01 | 0.9x | 22 | 7% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=26, mult=1.6 |
-3.0% | -78.5% | 0.00 | -0.04 | 0.4x | 236 | 26% |
| Buy and hold | 2.4% | -89.8% | 0.30 | 0.03 | 1.9x | 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 118-day return is greater than -15%
- Sell — Sell when the 118-day return drops to -15% or below