Trend-Following Backtester · Guide · backtest 한국어
equity · KR
롯데정밀화학 backtest
10 trend-following strategies were compared on the full daily history of 롯데정밀화학. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.3%, MDD -51.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.1%, drawdown -73.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.3%, MDD -51.0%, Sharpe 0.30, 26% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 4.3%, MDD -51.0%, exposure 26%).
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=119, exitN=37 |
4.3% | -51.0% | 0.30 | 0.08 | 3.0x | 44 | 26% |
| SMA 크로스오버 fast=54, slow=142 |
4.2% | -61.0% | 0.29 | 0.07 | 3.0x | 46 | 49% |
| Supertrend period=9, mult=4.9 |
3.4% | -71.0% | 0.26 | 0.05 | 2.4x | 78 | 59% |
| 볼린저 밴드 돌파 n=13, k=2.6 |
2.5% | -37.2% | 0.24 | 0.07 | 1.9x | 98 | 9% |
| EMA 크로스오버 fast=20, slow=45 |
2.7% | -54.4% | 0.24 | 0.05 | 2.0x | 124 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
0.3% | -70.3% | 0.15 | 0.00 | 1.1x | 218 | 50% |
| ADX / DI 방향성 period=39, threshold=23 |
0.9% | -50.4% | 0.14 | 0.02 | 1.3x | 20 | 8% |
| ROC 모멘텀 n=197, threshold=0.12 |
-0.5% | -60.8% | 0.11 | -0.01 | 0.9x | 178 | 36% |
| MACD fast=17, slow=29, signal=15 |
-1.0% | -60.5% | 0.11 | -0.02 | 0.8x | 361 | 51% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=21, mult=1.7 |
-1.6% | -74.1% | 0.06 | -0.02 | 0.7x | 174 | 35% |
| Buy and hold | 3.1% | -73.9% | 0.28 | 0.04 | 2.3x | 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 119 days
- Sell — Sell when price breaks below the lowest low of the last 37 days