Trend-Following Backtester · Guide · backtest 한국어
equity · KR
대신증권 backtest
10 trend-following strategies were compared on the full daily history of 대신증권. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.9%, MDD -36.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.5%, drawdown -83.1%).
Sharpe leader (same as main): MACD — CAGR 6.8%, MDD -76.9%, Sharpe 0.37, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 6.2%p (CAGR 4.9%, MDD -36.5%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=54, signal=22 |
6.8% | -76.9% | 0.37 | 0.09 | 5.7x | 226 | 51% |
| 볼린저 밴드 돌파 n=48, k=2.4 |
5.5% | -49.2% | 0.35 | 0.11 | 4.1x | 78 | 23% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=20, mult=2.8 |
4.9% | -36.5% | 0.33 | 0.13 | 3.6x | 88 | 20% |
| Donchian 채널 돌파 entryN=72, exitN=78 |
4.5% | -65.8% | 0.30 | 0.07 | 3.2x | 38 | 53% |
| ADX / DI 방향성 period=19, threshold=26 |
2.8% | -37.1% | 0.24 | 0.08 | 2.1x | 86 | 15% |
| SMA 크로스오버 fast=27, slow=182 |
2.7% | -69.5% | 0.24 | 0.04 | 2.0x | 52 | 49% |
| Supertrend period=11, mult=4.1 |
1.8% | -77.6% | 0.21 | 0.02 | 1.6x | 114 | 50% |
| EMA 크로스오버 fast=55, slow=94 |
1.8% | -70.6% | 0.21 | 0.03 | 1.6x | 50 | 48% |
| ROC 모멘텀 n=90, threshold=-0.04 |
-1.1% | -88.2% | 0.11 | -0.01 | 0.8x | 270 | 58% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-4.5% | -93.0% | -0.00 | -0.05 | 0.3x | 510 | 50% |
| Buy and hold | 1.5% | -83.1% | 0.25 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/54) crosses above its 22-day signal line
- Sell — Sell when the MACD line crosses back below the signal line