Trend-Following Backtester · Guide · backtest 한국어
equity · KR
교보증권 backtest
10 trend-following strategies were compared on the full daily history of 교보증권. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.7%, MDD -39.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.7%, drawdown -86.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.2%, MDD -44.7%, Sharpe 0.62, 19% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 42.2%p (CAGR 4.7%, MDD -39.8%, exposure 6%).
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=78, exitN=13 |
12.2% | -44.7% | 0.62 | 0.27 | 20.9x | 66 | 19% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=9, mult=3 |
10.9% | -41.9% | 0.55 | 0.26 | 15.4x | 74 | 20% |
| 볼린저 밴드 돌파 n=55, k=2.8 |
8.9% | -44.7% | 0.48 | 0.20 | 9.5x | 54 | 19% |
| Supertrend period=14, mult=2.3 |
10.1% | -75.9% | 0.46 | 0.13 | 12.8x | 246 | 48% |
| SMA 크로스오버 fast=49, slow=81 |
9.7% | -65.8% | 0.45 | 0.15 | 11.6x | 84 | 46% |
| MACD fast=6, slow=48, signal=8 |
10.0% | -77.6% | 0.45 | 0.13 | 12.6x | 568 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
9.0% | -74.4% | 0.43 | 0.12 | 9.9x | 200 | 48% |
| ROC 모멘텀 n=80, threshold=-0.03 |
7.8% | -73.9% | 0.39 | 0.11 | 7.2x | 272 | 53% |
| ADX / DI 방향성 period=28, threshold=34 |
4.7% | -39.8% | 0.37 | 0.12 | 3.4x | 20 | 6% |
| EMA 크로스오버 fast=7, slow=147 |
5.7% | -71.0% | 0.33 | 0.08 | 4.3x | 104 | 42% |
| Buy and hold | 1.7% | -86.8% | 0.27 | 0.02 | 1.5x | 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 78 days
- Sell — Sell when price breaks below the lowest low of the last 13 days