Trend-Following Backtester · Guide · backtest 한국어
equity · KR
신영증권 backtest
10 trend-following strategies were compared on the full daily history of 신영증권. 5 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 7.8%, MDD -40.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.7%, drawdown -73.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -42.7%, Sharpe 0.50, 54% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.6%, MDD -59.7%, exposure 89%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 7.8%, MDD -40.2%, exposure 34%).
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=36, exitN=32 |
9.6% | -42.7% | 0.50 | 0.23 | 11.5x | 76 | 54% |
| SMA 크로스오버 fast=44, slow=84 |
9.5% | -52.0% | 0.50 | 0.18 | 11.2x | 76 | 56% |
| Supertrend period=8, mult=4.3 |
9.1% | -49.7% | 0.48 | 0.18 | 10.0x | 68 | 56% |
| ROC 모멘텀 n=91, threshold=-0.15 |
9.6% | -59.7% | 0.48 | 0.16 | 11.5x | 102 | 89% |
| ADX / DI 방향성 period=38, threshold=15 |
7.8% | -40.2% | 0.46 | 0.19 | 7.4x | 126 | 34% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
4.8% | -25.8% | 0.46 | 0.19 | 3.5x | 38 | 11% |
| EMA 크로스오버 fast=17, slow=145 |
7.7% | -49.7% | 0.43 | 0.15 | 7.1x | 64 | 57% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=22, mult=1.5 |
6.3% | -43.4% | 0.40 | 0.14 | 5.0x | 134 | 38% |
| MACD fast=11, slow=50, signal=23 |
5.3% | -48.6% | 0.34 | 0.11 | 3.9x | 280 | 50% |
| Parabolic SAR step=0.02, maxStep=0.12 |
2.7% | -71.1% | 0.23 | 0.04 | 2.0x | 482 | 52% |
| Buy and hold | 7.7% | -73.3% | 0.39 | 0.10 | 7.1x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 32 days