Trend-Following Backtester · Guide · backtest 한국어
equity · KR
롯데케미칼 backtest
10 trend-following strategies were compared on the full daily history of 롯데케미칼. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.7%, MDD -38.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.0%, drawdown -88.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -54.2%, Sharpe 0.53, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 7.7%, MDD -38.8%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=84, exitN=93 |
13.2% | -54.2% | 0.53 | 0.24 | 27.1x | 28 | 54% |
| SMA 크로스오버 fast=14, slow=152 |
13.0% | -67.2% | 0.52 | 0.19 | 25.4x | 62 | 51% |
| EMA 크로스오버 fast=30, slow=195 |
12.6% | -51.4% | 0.51 | 0.25 | 23.4x | 30 | 51% |
| ADX / DI 방향성 period=39, threshold=17 |
7.7% | -38.8% | 0.42 | 0.20 | 7.2x | 56 | 19% |
| ROC 모멘텀 n=104, threshold=-0.03 |
8.1% | -68.1% | 0.40 | 0.12 | 8.0x | 206 | 55% |
| Supertrend period=8, mult=4.9 |
5.3% | -85.2% | 0.33 | 0.06 | 3.9x | 74 | 60% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
4.7% | -52.6% | 0.32 | 0.09 | 3.4x | 30 | 16% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=28, mult=1.5 |
2.3% | -82.7% | 0.23 | 0.03 | 1.8x | 170 | 40% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.4% | -84.0% | 0.10 | -0.03 | 0.5x | 226 | 50% |
| MACD fast=6, slow=56, signal=8 |
-6.5% | -97.3% | -0.02 | -0.07 | 0.2x | 622 | 50% |
| Buy and hold | 5.0% | -88.3% | 0.35 | 0.06 | 3.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 84 days
- Sell — Sell when price breaks below the lowest low of the last 93 days