Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대엘리베이터 backtest
10 trend-following strategies were compared on the full daily history of 현대엘리베이터. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 16.0%, MDD -57.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.9%, drawdown -83.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 16.0%, MDD -57.6%, Sharpe 0.57, 47% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 16.0%, MDD -57.6%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.02, maxStep=0.1 |
16.0% | -57.6% | 0.57 | 0.28 | 51.9x | 446 | 47% |
| MACD fast=11, slow=25, signal=13 |
14.9% | -67.5% | 0.54 | 0.22 | 39.9x | 433 | 50% |
| Donchian 채널 돌파 entryN=92, exitN=37 |
13.9% | -64.8% | 0.53 | 0.21 | 31.8x | 44 | 33% |
| SMA 크로스오버 fast=37, slow=144 |
13.1% | -64.0% | 0.50 | 0.20 | 26.4x | 42 | 46% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=8, mult=1.3 |
11.7% | -63.6% | 0.49 | 0.18 | 18.8x | 276 | 25% |
| EMA 크로스오버 fast=16, slow=149 |
12.0% | -71.2% | 0.48 | 0.17 | 20.1x | 54 | 45% |
| 볼린저 밴드 돌파 n=59, k=3.4 |
9.6% | -66.4% | 0.46 | 0.14 | 11.4x | 36 | 15% |
| ADX / DI 방향성 period=20, threshold=27 |
9.7% | -71.0% | 0.45 | 0.14 | 11.6x | 86 | 19% |
| ROC 모멘텀 n=95, threshold=-0.04 |
10.9% | -74.8% | 0.45 | 0.15 | 15.8x | 250 | 53% |
| Supertrend period=11, mult=2.3 |
10.6% | -66.9% | 0.45 | 0.16 | 14.4x | 250 | 46% |
| Buy and hold | 6.9% | -83.0% | 0.40 | 0.08 | 5.8x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots