Trend-Following Backtester · Guide · backtest 한국어
equity · KR
포스코퓨처엠 backtest
10 trend-following strategies were compared on the full daily history of 포스코퓨처엠. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.1%, MDD -45.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 23.6%, drawdown -83.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 24.2%, MDD -58.7%, Sharpe 0.83, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 24.5%p (CAGR 24.1%, MDD -45.5%, exposure 57%).
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=10, slow=41 |
24.2% | -58.7% | 0.83 | 0.41 | 216.1x | 151 | 57% |
| SMA 크로스오버 fast=6, slow=150 |
24.1% | -45.5% | 0.82 | 0.53 | 213.5x | 70 | 57% |
| Parabolic SAR step=0.01, maxStep=0.14 |
22.8% | -54.7% | 0.81 | 0.42 | 164.3x | 297 | 53% |
| Supertrend period=20, mult=4.6 |
21.1% | -67.4% | 0.75 | 0.31 | 116.2x | 69 | 58% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=22, mult=2.7 |
17.9% | -49.2% | 0.73 | 0.36 | 59.4x | 74 | 33% |
| ROC 모멘텀 n=122, threshold=0.09 |
18.4% | -63.7% | 0.70 | 0.29 | 65.7x | 188 | 46% |
| Donchian 채널 돌파 entryN=43, exitN=75 |
19.1% | -58.8% | 0.67 | 0.33 | 77.1x | 44 | 68% |
| MACD fast=15, slow=72, signal=14 |
16.9% | -56.7% | 0.66 | 0.30 | 48.4x | 299 | 52% |
| 볼린저 밴드 돌파 n=49, k=1.8 |
15.9% | -55.5% | 0.66 | 0.29 | 39.2x | 118 | 40% |
| ADX / DI 방향성 period=36, threshold=21 |
12.0% | -55.6% | 0.61 | 0.22 | 16.8x | 54 | 23% |
| Buy and hold | 23.6% | -83.3% | 0.70 | 0.28 | 190.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 10-day EMA crosses above the 41-day EMA
- Sell — Sell when the 10-day EMA falls below the 41-day EMA