Trend-Following Backtester · Guide · backtest 한국어
equity · KR
포스코DX backtest
10 trend-following strategies were compared on the full daily history of 포스코DX. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.0%, MDD -46.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.1%, drawdown -81.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.0%, MDD -46.2%, Sharpe 0.60, 35% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 35.5%p (CAGR 16.0%, MDD -46.2%, exposure 35%).
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=104, exitN=58 |
16.0% | -46.2% | 0.60 | 0.35 | 45.5x | 32 | 35% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
11.7% | -62.1% | 0.56 | 0.19 | 17.2x | 26 | 12% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=8, mult=3.8 |
10.7% | -47.1% | 0.54 | 0.23 | 13.7x | 34 | 14% |
| SMA 크로스오버 fast=11, slow=85 |
13.4% | -65.2% | 0.52 | 0.21 | 25.1x | 106 | 48% |
| EMA 크로스오버 fast=26, slow=44 |
13.3% | -58.8% | 0.51 | 0.23 | 24.4x | 106 | 48% |
| Supertrend period=19, mult=2.7 |
12.3% | -74.9% | 0.50 | 0.16 | 19.5x | 182 | 47% |
| MACD fast=18, slow=22, signal=17 |
12.1% | -78.0% | 0.50 | 0.16 | 18.9x | 311 | 49% |
| ROC 모멘텀 n=77, threshold=0.09 |
11.2% | -63.6% | 0.48 | 0.18 | 15.4x | 240 | 36% |
| ADX / DI 방향성 period=21, threshold=22 |
10.4% | -56.7% | 0.47 | 0.18 | 12.7x | 136 | 26% |
| Parabolic SAR step=0.01, maxStep=0.34 |
8.9% | -73.4% | 0.41 | 0.12 | 9.0x | 306 | 47% |
| Buy and hold | 8.1% | -81.7% | 0.41 | 0.10 | 7.4x | 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 104 days
- Sell — Sell when price breaks below the lowest low of the last 58 days