Trend-Following Backtester · Guide · backtest 한국어
equity · KR
영원무역홀딩스 backtest
10 trend-following strategies were compared on the full daily history of 영원무역홀딩스. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.7%, MDD -52.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.5%, drawdown -76.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.3%, MDD -59.9%, Sharpe 0.60, 80% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 16.8%p (CAGR 15.7%, MDD -52.7%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=276, threshold=-0.12 |
16.3% | -59.9% | 0.60 | 0.27 | 55.6x | 85 | 80% |
| EMA 크로스오버 fast=71, slow=208 |
15.7% | -52.7% | 0.60 | 0.30 | 48.1x | 23 | 68% |
| SMA 크로스오버 fast=41, slow=196 |
14.5% | -55.4% | 0.57 | 0.26 | 36.1x | 36 | 65% |
| Donchian 채널 돌파 entryN=87, exitN=94 |
12.4% | -58.6% | 0.51 | 0.21 | 22.5x | 32 | 66% |
| Supertrend period=15, mult=3.8 |
7.9% | -66.6% | 0.39 | 0.12 | 7.5x | 102 | 59% |
| ADX / DI 방향성 period=31, threshold=3 |
3.7% | -82.3% | 0.28 | 0.05 | 2.6x | 337 | 62% |
| 볼린저 밴드 돌파 n=57, k=2.9 |
3.6% | -52.4% | 0.27 | 0.07 | 2.5x | 66 | 24% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=28, mult=1.5 |
2.4% | -67.6% | 0.23 | 0.04 | 1.9x | 168 | 42% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.1% | -85.5% | 0.19 | 0.01 | 1.3x | 201 | 52% |
| MACD fast=13, slow=24, signal=11 |
0.4% | -90.1% | 0.17 | 0.00 | 1.1x | 457 | 50% |
| Buy and hold | 17.5% | -76.7% | 0.59 | 0.23 | 72.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 276-day return is greater than -12%
- Sell — Sell when the 276-day return drops to -12% or below