Trend-Following Backtester · Guide · backtest 한국어
equity · KR
대한전선 backtest
10 trend-following strategies were compared on the full daily history of 대한전선. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 16.2%, MDD -78.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.0%, drawdown -100.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.2%, MDD -78.2%, Sharpe 0.58, 36% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 24.2%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR 16.2%, MDD -78.2%, exposure 36%).
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=66, slow=189 |
16.2% | -78.2% | 0.58 | 0.21 | 54.4x | 23 | 36% |
| SMA 크로스오버 fast=21, slow=176 |
11.3% | -83.5% | 0.53 | 0.14 | 17.3x | 52 | 37% |
| Parabolic SAR step=0.005, maxStep=0.22 |
15.5% | -86.6% | 0.48 | 0.18 | 45.8x | 176 | 43% |
| ROC 모멘텀 n=138, threshold=0.02 |
-4.2% | -99.4% | 0.43 | -0.04 | 0.3x | 170 | 38% |
| ADX / DI 방향성 period=37, threshold=12 |
11.3% | -94.1% | 0.41 | 0.12 | 17.3x | 158 | 39% |
| Donchian 채널 돌파 entryN=155, exitN=75 |
9.0% | -93.9% | 0.35 | 0.10 | 9.9x | 20 | 25% |
| 볼린저 밴드 돌파 n=52, k=1.4 |
10.0% | -89.7% | 0.29 | 0.11 | 12.6x | 108 | 27% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=3.2 |
3.5% | -98.0% | 0.24 | 0.04 | 2.5x | 60 | 19% |
| Supertrend period=13, mult=3.3 |
-1.1% | -99.5% | 0.21 | -0.01 | 0.7x | 130 | 41% |
| MACD fast=15, slow=29, signal=29 |
-16.1% | -100.0% | 0.20 | -0.16 | 0.0x | 278 | 53% |
| Buy and hold | -8.0% | -100.0% | 0.52 | -0.08 | 0.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 66-day EMA crosses above the 189-day EMA
- Sell — Sell when the 66-day EMA falls below the 189-day EMA