Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한국앤컴퍼니 backtest
10 trend-following strategies were compared on the full daily history of 한국앤컴퍼니. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.8%, drawdown -71.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.7%, MDD -53.6%, Sharpe 0.44, 59% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.4%, MDD -69.8%, exposure 87%.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=34, slow=223 |
9.7% | -53.6% | 0.44 | 0.18 | 11.8x | 29 | 59% |
| SMA 크로스오버 fast=33, slow=217 |
9.4% | -47.7% | 0.43 | 0.20 | 11.0x | 36 | 57% |
| Donchian 채널 돌파 entryN=8, exitN=71 |
11.4% | -69.8% | 0.33 | 0.16 | 17.4x | 91 | 87% |
| ADX / DI 방향성 period=50, threshold=16 |
3.4% | -48.2% | 0.26 | 0.07 | 2.4x | 46 | 21% |
| ROC 모멘텀 n=124, threshold=-0.09 |
5.6% | -85.7% | 0.26 | 0.07 | 4.3x | 233 | 75% |
| MACD fast=16, slow=56, signal=40 |
6.0% | -66.0% | 0.24 | 0.09 | 4.7x | 223 | 48% |
| Supertrend period=5, mult=5 |
1.5% | -69.0% | 0.22 | 0.02 | 1.5x | 69 | 62% |
| Parabolic SAR step=0.01, maxStep=0.32 |
2.4% | -68.0% | 0.20 | 0.04 | 1.9x | 336 | 50% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
-1.5% | -75.2% | 0.05 | -0.02 | 0.7x | 62 | 20% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=15, mult=3.3 |
-2.0% | -75.8% | 0.02 | -0.03 | 0.6x | 62 | 17% |
| Buy and hold | 17.8% | -71.8% | 0.41 | 0.25 | 77.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 34-day EMA crosses above the 223-day EMA
- Sell — Sell when the 34-day EMA falls below the 223-day EMA