Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대지에프홀딩스 backtest
10 trend-following strategies were compared on the full daily history of 현대지에프홀딩스. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.0%, MDD -45.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 11.5%, drawdown -83.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.0%, MDD -58.0%, Sharpe 0.65, 22% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 15.6%, MDD -62.0%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 11.0%, MDD -45.7%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=16, mult=3.5 |
13.0% | -58.0% | 0.65 | 0.22 | 25.7x | 52 | 22% |
| SMA 크로스오버 fast=16, slow=211 |
15.6% | -62.0% | 0.62 | 0.25 | 47.5x | 49 | 55% |
| ROC 모멘텀 n=161, threshold=0.02 |
14.2% | -67.5% | 0.58 | 0.21 | 34.2x | 171 | 52% |
| Donchian 채널 돌파 entryN=113, exitN=24 |
11.0% | -45.7% | 0.58 | 0.24 | 15.9x | 46 | 25% |
| EMA 크로스오버 fast=40, slow=150 |
14.1% | -62.3% | 0.58 | 0.23 | 33.2x | 43 | 54% |
| 볼린저 밴드 돌파 n=56, k=2.4 |
11.5% | -65.3% | 0.57 | 0.18 | 18.0x | 76 | 29% |
| ADX / DI 방향성 period=33, threshold=10 |
12.2% | -75.5% | 0.52 | 0.16 | 21.5x | 256 | 51% |
| Parabolic SAR step=0.005, maxStep=0.1 |
7.9% | -81.1% | 0.40 | 0.10 | 7.5x | 204 | 49% |
| Supertrend period=16, mult=4.8 |
7.5% | -79.9% | 0.38 | 0.09 | 6.8x | 82 | 57% |
| MACD fast=12, slow=42, signal=15 |
4.4% | -87.2% | 0.29 | 0.05 | 3.1x | 384 | 50% |
| Buy and hold | 11.5% | -83.2% | 0.47 | 0.14 | 18.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 51-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 51-day average