Trend-Following Backtester · Guide · backtest 한국어
equity · KR
동서 backtest
10 trend-following strategies were compared on the full daily history of 동서. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.1%, drawdown -69.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.8%, MDD -55.3%, Sharpe 0.58, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=55, slow=206 |
12.8% | -55.3% | 0.58 | 0.23 | 24.3x | 34 | 53% |
| ADX / DI 방향성 period=39, threshold=15 |
10.2% | -53.3% | 0.52 | 0.19 | 13.0x | 106 | 37% |
| Donchian 채널 돌파 entryN=55, exitN=76 |
11.1% | -59.1% | 0.51 | 0.19 | 16.4x | 43 | 65% |
| EMA 크로스오버 fast=38, slow=165 |
10.7% | -48.2% | 0.50 | 0.22 | 14.6x | 50 | 58% |
| Parabolic SAR step=0.005, maxStep=0.08 |
10.1% | -48.3% | 0.48 | 0.21 | 12.7x | 183 | 50% |
| MACD fast=18, slow=53, signal=27 |
8.5% | -62.4% | 0.44 | 0.14 | 8.6x | 219 | 49% |
| Supertrend period=10, mult=3.5 |
8.8% | -60.1% | 0.43 | 0.15 | 9.3x | 101 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=19, mult=2.4 |
6.8% | -42.0% | 0.40 | 0.16 | 5.7x | 92 | 30% |
| ROC 모멘텀 n=95, threshold=0.08 |
5.8% | -63.5% | 0.35 | 0.09 | 4.5x | 240 | 39% |
| 볼린저 밴드 돌파 n=43, k=3.1 |
4.6% | -44.2% | 0.33 | 0.11 | 3.3x | 72 | 20% |
| Buy and hold | 15.1% | -69.0% | 0.57 | 0.22 | 41.0x | 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 55-day average price crosses above the 206-day average
- Sell — Sell (to cash) when the 55-day average falls below the 206-day average