Trend-Following Backtester · Guide · backtest 한국어
equity · KR
POSCO홀딩스 backtest
10 trend-following strategies were compared on the full daily history of POSCO홀딩스. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.5%, MDD -40.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.0%, drawdown -82.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -48.3%, Sharpe 0.39, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 4.5%, MDD -40.1%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=47, slow=218 |
7.0% | -48.3% | 0.39 | 0.14 | 6.0x | 27 | 48% |
| EMA 크로스오버 fast=58, slow=77 |
5.7% | -60.0% | 0.34 | 0.10 | 4.4x | 50 | 49% |
| Donchian 채널 돌파 entryN=114, exitN=43 |
4.5% | -40.1% | 0.31 | 0.11 | 3.2x | 38 | 30% |
| ROC 모멘텀 n=125, threshold=0.05 |
3.8% | -54.8% | 0.27 | 0.07 | 2.7x | 174 | 42% |
| Supertrend period=34, mult=3.9 |
2.6% | -67.5% | 0.23 | 0.04 | 2.0x | 126 | 47% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
2.5% | -47.0% | 0.22 | 0.05 | 1.9x | 66 | 24% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=9, mult=1.1 |
2.2% | -76.9% | 0.21 | 0.03 | 1.8x | 172 | 42% |
| Parabolic SAR step=0.02, maxStep=0.02 |
0.7% | -83.1% | 0.15 | 0.01 | 1.2x | 160 | 50% |
| ADX / DI 방향성 period=38, threshold=21 |
0.3% | -51.2% | 0.08 | 0.01 | 1.1x | 28 | 6% |
| MACD fast=20, slow=38, signal=21 |
-4.4% | -88.5% | -0.04 | -0.05 | 0.3x | 297 | 52% |
| Buy and hold | 3.0% | -82.0% | 0.26 | 0.04 | 2.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 47-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 47-day average falls below the 218-day average