Trend-Following Backtester · Guide · backtest 한국어
equity · KR
팬오션 backtest
10 trend-following strategies were compared on the full daily history of 팬오션. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.1%, MDD -25.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.2%, drawdown -99.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.7%, MDD -44.9%, Sharpe 0.28, 13% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.9%p higher than buy and hold, while drawdown improves by 54.7%p (CAGR 2.1%, MDD -25.5%, exposure 2%).
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=34, threshold=20 |
3.7% | -44.9% | 0.28 | 0.08 | 2.0x | 32 | 13% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=20, mult=3.7 |
2.1% | -25.5% | 0.26 | 0.08 | 1.5x | 10 | 2% |
| 볼린저 밴드 돌파 n=14, k=2.7 |
2.6% | -41.1% | 0.23 | 0.06 | 1.6x | 62 | 8% |
| EMA 크로스오버 fast=77, slow=207 |
0.1% | -65.3% | 0.12 | 0.00 | 1.0x | 15 | 24% |
| Donchian 채널 돌파 entryN=106, exitN=54 |
-1.5% | -69.1% | 0.06 | -0.02 | 0.7x | 21 | 30% |
| Supertrend period=7, mult=3.3 |
-6.0% | -90.0% | -0.00 | -0.07 | 0.3x | 111 | 43% |
| ROC 모멘텀 n=16, threshold=0.14 |
-2.7% | -63.4% | -0.01 | -0.04 | 0.6x | 188 | 11% |
| SMA 크로스오버 fast=58, slow=211 |
-3.9% | -75.3% | -0.01 | -0.05 | 0.5x | 23 | 35% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-12.3% | -97.5% | -0.17 | -0.13 | 0.1x | 240 | 44% |
| MACD fast=19, slow=55, signal=8 |
-14.3% | -97.1% | -0.20 | -0.15 | 0.1x | 267 | 50% |
| Buy and hold | -18.2% | -99.7% | -0.08 | -0.18 | 0.0x | 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, 34-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)