Trend-Following Backtester · Guide · backtest 한국어
equity · KR
키움증권 backtest
10 trend-following strategies were compared on the full daily history of 키움증권. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.1%, MDD -55.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.7%, drawdown -79.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.9%, MDD -51.1%, Sharpe 0.65, 21% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.1%, MDD -55.1%, exposure 70%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.8%p lower than buy and hold, while drawdown improves by 28.2%p (CAGR 18.1%, MDD -55.1%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=3.4 |
13.9% | -51.1% | 0.65 | 0.27 | 18.1x | 50 | 21% |
| ADX / DI 방향성 period=26, threshold=18 |
14.6% | -49.9% | 0.65 | 0.29 | 20.9x | 104 | 27% |
| ROC 모멘텀 n=105, threshold=0.09 |
17.0% | -50.9% | 0.64 | 0.33 | 32.9x | 162 | 43% |
| 볼린저 밴드 돌파 n=41, k=2.6 |
14.0% | -48.3% | 0.63 | 0.29 | 18.4x | 74 | 26% |
| SMA 크로스오버 fast=31, slow=132 |
17.5% | -71.9% | 0.63 | 0.24 | 36.5x | 52 | 55% |
| Donchian 채널 돌파 entryN=41, exitN=72 |
18.1% | -55.1% | 0.62 | 0.33 | 40.6x | 42 | 70% |
| MACD fast=25, slow=33, signal=34 |
13.0% | -70.1% | 0.54 | 0.19 | 15.1x | 176 | 51% |
| Supertrend period=19, mult=4.9 |
13.0% | -80.2% | 0.53 | 0.16 | 15.0x | 66 | 54% |
| EMA 크로스오버 fast=37, slow=69 |
13.1% | -74.1% | 0.52 | 0.18 | 15.4x | 66 | 54% |
| Parabolic SAR step=0.005, maxStep=0.3 |
7.0% | -80.9% | 0.37 | 0.09 | 4.5x | 174 | 52% |
| Buy and hold | 18.7% | -79.3% | 0.60 | 0.24 | 45.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 46-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 46-day average