Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대제철 backtest
10 trend-following strategies were compared on the full daily history of 현대제철. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.6%, MDD -69.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.9%, drawdown -91.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.6%, MDD -69.6%, Sharpe 0.45, 50% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 21.6%p (CAGR 9.6%, MDD -69.6%, exposure 50%).
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=3, slow=112 |
9.6% | -69.6% | 0.45 | 0.14 | 11.5x | 166 | 50% |
| SMA 크로스오버 fast=53, slow=230 |
9.0% | -81.6% | 0.43 | 0.11 | 9.8x | 32 | 50% |
| ROC 모멘텀 n=72, threshold=0.04 |
7.8% | -74.2% | 0.40 | 0.11 | 7.4x | 278 | 44% |
| Donchian 채널 돌파 entryN=38, exitN=63 |
8.1% | -82.9% | 0.40 | 0.10 | 8.0x | 64 | 61% |
| MACD fast=5, slow=26, signal=10 |
4.3% | -80.2% | 0.29 | 0.05 | 3.1x | 645 | 51% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=12, mult=2.5 |
3.6% | -71.6% | 0.27 | 0.05 | 2.5x | 114 | 25% |
| ADX / DI 방향성 period=32, threshold=38 |
1.1% | -16.9% | 0.23 | 0.06 | 1.3x | 2 | 1% |
| Supertrend period=14, mult=4.6 |
1.8% | -74.8% | 0.22 | 0.02 | 1.6x | 98 | 51% |
| 볼린저 밴드 돌파 n=36, k=2.7 |
2.0% | -64.6% | 0.20 | 0.03 | 1.7x | 94 | 19% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-1.7% | -85.0% | 0.10 | -0.02 | 0.6x | 348 | 51% |
| Buy and hold | 5.9% | -91.1% | 0.35 | 0.06 | 4.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 3-day EMA crosses above the 112-day EMA
- Sell — Sell when the 3-day EMA falls below the 112-day EMA