Trend-Following Backtester · Guide · backtest 한국어
equity · KR
롯데관광개발 backtest
10 trend-following strategies were compared on the full daily history of 롯데관광개발. 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 9.3%, MDD -33.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.4%, drawdown -92.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -33.0%, Sharpe 0.51, 8% exposure.
CAGR reference leader: MACD — CAGR 12.0%, MDD -60.0%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.8%p higher than buy and hold, while drawdown improves by 59.6%p (CAGR 9.3%, MDD -33.0%, exposure 8%).
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=99, exitN=4 |
9.3% | -33.0% | 0.51 | 0.28 | 6.0x | 48 | 8% |
| MACD fast=19, slow=70, signal=19 |
12.0% | -60.0% | 0.48 | 0.20 | 9.8x | 166 | 51% |
| SMA 크로스오버 fast=48, slow=169 |
10.4% | -73.5% | 0.45 | 0.14 | 7.3x | 32 | 40% |
| 볼린저 밴드 돌파 n=23, k=2.6 |
6.3% | -55.3% | 0.36 | 0.11 | 3.4x | 86 | 16% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=10, mult=2.2 |
5.5% | -68.0% | 0.33 | 0.08 | 3.0x | 70 | 19% |
| EMA 크로스오버 fast=45, slow=124 |
5.4% | -65.7% | 0.32 | 0.08 | 2.9x | 28 | 39% |
| ROC 모멘텀 n=105, threshold=-0.03 |
4.3% | -80.6% | 0.30 | 0.05 | 2.3x | 200 | 47% |
| Parabolic SAR step=0.025, maxStep=0.1 |
3.0% | -88.6% | 0.27 | 0.03 | 1.8x | 380 | 44% |
| ADX / DI 방향성 period=13, threshold=30 |
2.7% | -78.8% | 0.23 | 0.03 | 1.7x | 94 | 20% |
| Supertrend period=27, mult=4.7 |
0.9% | -75.5% | 0.20 | 0.01 | 1.2x | 62 | 41% |
| Buy and hold | -1.4% | -92.6% | 0.25 | -0.02 | 0.7x | 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 99 days
- Sell — Sell when price breaks below the lowest low of the last 4 days