Trend-Following Backtester · Guide · backtest 한국어
equity · KR
세아베스틸지주 backtest
10 trend-following strategies were compared on the full daily history of 세아베스틸지주. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.6%, MDD -47.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -1.5%, drawdown -92.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.3%, MDD -56.7%, Sharpe 0.48, 26% exposure.
CAGR reference leader: Supertrend — CAGR 10.7%, MDD -65.7%, exposure 40%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 36.2%p (CAGR 5.6%, MDD -47.2%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=77, exitN=19 |
10.3% | -56.7% | 0.48 | 0.18 | 13.5x | 62 | 26% |
| 볼린저 밴드 돌파 n=51, k=3 |
9.7% | -68.5% | 0.47 | 0.14 | 11.8x | 46 | 18% |
| Supertrend period=34, mult=5 |
10.7% | -65.7% | 0.46 | 0.16 | 15.0x | 66 | 40% |
| SMA 크로스오버 fast=14, slow=120 |
10.5% | -73.3% | 0.45 | 0.14 | 14.1x | 74 | 46% |
| EMA 크로스오버 fast=36, slow=56 |
10.2% | -71.1% | 0.44 | 0.14 | 13.2x | 66 | 46% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=19, mult=2.5 |
9.3% | -63.1% | 0.43 | 0.15 | 10.5x | 88 | 27% |
| ADX / DI 방향성 period=18, threshold=37 |
5.6% | -47.2% | 0.39 | 0.12 | 4.3x | 36 | 7% |
| ROC 모멘텀 n=89, threshold=0.08 |
7.0% | -78.6% | 0.37 | 0.09 | 6.1x | 190 | 37% |
| MACD fast=18, slow=56, signal=9 |
2.7% | -88.6% | 0.26 | 0.03 | 2.1x | 359 | 51% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-2.8% | -86.7% | 0.12 | -0.03 | 0.5x | 464 | 50% |
| Buy and hold | -1.5% | -92.9% | 0.25 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 77 days
- Sell — Sell when price breaks below the lowest low of the last 19 days