Trend-Following Backtester · Guide · backtest 한국어
equity · KR
고려아연 backtest
10 trend-following strategies were compared on the full daily history of 고려아연. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.2%, MDD -63.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.9%, drawdown -80.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.2%, MDD -51.6%, Sharpe 0.51, 11% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.2%, MDD -63.3%, exposure 62%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.7%p lower than buy and hold, while drawdown improves by 29.1%p (CAGR 12.2%, MDD -63.3%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=52, k=3.4 |
9.2% | -51.6% | 0.51 | 0.18 | 10.3x | 24 | 11% |
| Donchian 채널 돌파 entryN=64, exitN=77 |
12.2% | -63.3% | 0.49 | 0.19 | 21.3x | 36 | 62% |
| SMA 크로스오버 fast=38, slow=100 |
12.0% | -74.0% | 0.49 | 0.16 | 20.2x | 76 | 58% |
| EMA 크로스오버 fast=52, slow=68 |
10.6% | -70.2% | 0.46 | 0.15 | 14.5x | 62 | 59% |
| ADX / DI 방향성 period=36, threshold=14 |
9.2% | -70.2% | 0.44 | 0.13 | 10.4x | 150 | 34% |
| Supertrend period=9, mult=2.6 |
9.5% | -64.5% | 0.43 | 0.15 | 11.1x | 210 | 53% |
| ROC 모멘텀 n=122, threshold=-0.04 |
7.5% | -71.7% | 0.38 | 0.11 | 6.9x | 206 | 67% |
| MACD fast=15, slow=55, signal=18 |
5.8% | -67.4% | 0.34 | 0.09 | 4.4x | 295 | 51% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=18, mult=2.1 |
5.7% | -79.7% | 0.33 | 0.07 | 4.3x | 148 | 35% |
| Parabolic SAR step=0.03, maxStep=0.1 |
3.7% | -81.2% | 0.28 | 0.05 | 2.7x | 586 | 51% |
| Buy and hold | 14.9% | -80.7% | 0.53 | 0.18 | 39.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 52-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 52-day middle average