Trend-Following Backtester · Guide · backtest 한국어
equity · KR
롯데쇼핑 backtest
10 trend-following strategies were compared on the full daily history of 롯데쇼핑. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.4%, MDD -25.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.9%, drawdown -90.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.0%, MDD -31.2%, Sharpe 0.23, 5% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 59.0%p (CAGR 1.4%, MDD -25.2%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=26 |
2.0% | -31.2% | 0.23 | 0.06 | 1.5x | 8 | 5% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
1.4% | -25.2% | 0.19 | 0.06 | 1.3x | 12 | 5% |
| Donchian 채널 돌파 entryN=54, exitN=32 |
0.8% | -56.8% | 0.15 | 0.01 | 1.2x | 54 | 36% |
| SMA 크로스오버 fast=7, slow=65 |
0.5% | -65.5% | 0.15 | 0.01 | 1.1x | 112 | 45% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=14, mult=1.2 |
0.2% | -72.8% | 0.12 | 0.00 | 1.0x | 130 | 36% |
| Supertrend period=30, mult=3.7 |
-0.4% | -68.7% | 0.11 | -0.01 | 0.9x | 94 | 47% |
| EMA 크로스오버 fast=16, slow=29 |
-1.3% | -74.2% | 0.07 | -0.02 | 0.8x | 118 | 45% |
| ROC 모멘텀 n=67, threshold=0.02 |
-1.2% | -69.0% | 0.07 | -0.02 | 0.8x | 194 | 41% |
| MACD fast=23, slow=47, signal=21 |
-2.7% | -80.9% | 0.02 | -0.03 | 0.6x | 198 | 52% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-3.2% | -84.6% | -0.01 | -0.04 | 0.5x | 268 | 47% |
| Buy and hold | -5.9% | -90.2% | 0.01 | -0.07 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)