Trend-Following Backtester · Guide · backtest 한국어
equity · KR
금호석유화학 backtest
10 trend-following strategies were compared on the full daily history of 금호석유화학. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.8%, MDD -46.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.4%, drawdown -85.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.3%, MDD -66.6%, Sharpe 0.61, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 18.4%p (CAGR 11.8%, MDD -46.8%, exposure 16%).
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=57, slow=138 |
17.3% | -66.6% | 0.61 | 0.26 | 69.6x | 48 | 50% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=11, mult=4 |
11.8% | -46.8% | 0.55 | 0.25 | 19.6x | 38 | 16% |
| Donchian 채널 돌파 entryN=119, exitN=64 |
13.6% | -74.3% | 0.55 | 0.18 | 29.6x | 34 | 37% |
| ADX / DI 방향성 period=33, threshold=20 |
10.5% | -42.1% | 0.52 | 0.25 | 14.2x | 50 | 18% |
| EMA 크로스오버 fast=49, slow=163 |
12.5% | -72.3% | 0.51 | 0.17 | 23.1x | 40 | 47% |
| Supertrend period=8, mult=3 |
10.4% | -78.1% | 0.45 | 0.13 | 13.9x | 162 | 54% |
| ROC 모멘텀 n=101, threshold=0.04 |
9.4% | -88.2% | 0.43 | 0.11 | 10.8x | 296 | 44% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
6.0% | -46.2% | 0.37 | 0.13 | 4.8x | 36 | 12% |
| Parabolic SAR step=0.005, maxStep=0.16 |
2.8% | -81.4% | 0.26 | 0.03 | 2.1x | 220 | 48% |
| MACD fast=18, slow=29, signal=11 |
-1.2% | -91.1% | 0.15 | -0.01 | 0.7x | 401 | 49% |
| Buy and hold | 12.4% | -85.1% | 0.48 | 0.15 | 22.5x | 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 57-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 57-day average falls below the 138-day average