Trend-Following Backtester · Guide · backtest 한국어
equity · KR
대한항공 backtest
10 trend-following strategies were compared on the full daily history of 대한항공. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.1%, MDD -30.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.5%, drawdown -84.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -30.2%, Sharpe 0.44, 6% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 5.4%, MDD -60.3%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 54.2%p (CAGR 5.1%, MDD -30.2%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=23, threshold=31 |
5.1% | -30.2% | 0.44 | 0.17 | 3.8x | 24 | 6% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
4.0% | -35.2% | 0.38 | 0.11 | 2.8x | 14 | 4% |
| Donchian 채널 돌파 entryN=126, exitN=44 |
5.3% | -51.6% | 0.33 | 0.10 | 3.9x | 33 | 29% |
| EMA 크로스오버 fast=60, slow=204 |
5.4% | -60.3% | 0.33 | 0.09 | 4.0x | 33 | 47% |
| SMA 크로스오버 fast=9, slow=163 |
5.1% | -73.9% | 0.32 | 0.07 | 3.7x | 91 | 49% |
| ROC 모멘텀 n=135, threshold=0.11 |
3.9% | -53.8% | 0.28 | 0.07 | 2.7x | 169 | 32% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=9, mult=3.6 |
2.5% | -65.1% | 0.24 | 0.04 | 1.9x | 30 | 7% |
| Parabolic SAR step=0.005, maxStep=0.22 |
0.1% | -80.7% | 0.15 | 0.00 | 1.0x | 218 | 49% |
| Supertrend period=30, mult=4.1 |
-0.3% | -72.3% | 0.15 | -0.00 | 0.9x | 123 | 53% |
| MACD fast=18, slow=33, signal=17 |
-1.1% | -85.6% | 0.12 | -0.01 | 0.8x | 312 | 51% |
| Buy and hold | 4.5% | -84.4% | 0.32 | 0.05 | 3.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 23-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)