Trend-Following Backtester · Guide · backtest 한국어
equity · KR
DB하이텍 backtest
10 trend-following strategies were compared on the full daily history of DB하이텍. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.7%, MDD -63.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.2%, drawdown -89.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.7%, MDD -63.7%, Sharpe 0.58, 23% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 14.9%, MDD -74.7%, exposure 37%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 13.7%, MDD -63.7%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=24, mult=1.6 |
13.7% | -63.7% | 0.58 | 0.21 | 30.3x | 206 | 23% |
| 볼린저 밴드 돌파 n=34, k=1.2 |
14.9% | -74.7% | 0.57 | 0.20 | 39.6x | 214 | 37% |
| Supertrend period=27, mult=4 |
14.8% | -66.2% | 0.55 | 0.22 | 39.2x | 114 | 43% |
| ROC 모멘텀 n=25, threshold=0.08 |
11.6% | -65.2% | 0.49 | 0.18 | 18.3x | 418 | 30% |
| Donchian 채널 돌파 entryN=14, exitN=64 |
11.6% | -77.3% | 0.47 | 0.15 | 18.3x | 82 | 78% |
| Parabolic SAR step=0.01, maxStep=0.14 |
9.0% | -88.0% | 0.42 | 0.10 | 10.0x | 322 | 48% |
| SMA 크로스오버 fast=18, slow=150 |
8.1% | -83.2% | 0.39 | 0.10 | 7.9x | 66 | 52% |
| MACD fast=16, slow=43, signal=14 |
6.9% | -87.2% | 0.36 | 0.08 | 5.9x | 320 | 50% |
| EMA 크로스오버 fast=14, slow=242 |
6.0% | -74.2% | 0.34 | 0.08 | 4.7x | 62 | 50% |
| ADX / DI 방향성 period=20, threshold=11 |
5.1% | -84.0% | 0.33 | 0.06 | 3.8x | 386 | 56% |
| Buy and hold | 10.2% | -89.0% | 0.45 | 0.11 | 13.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 15-day average + 1.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average