Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한국항공우주 backtest
10 trend-following strategies were compared on the full daily history of 한국항공우주. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.7%, MDD -57.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.3%, drawdown -84.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -57.0%, Sharpe 0.55, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 27.2%p (CAGR 12.7%, MDD -57.0%, exposure 51%).
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=48, slow=210 |
12.7% | -57.0% | 0.55 | 0.22 | 6.1x | 19 | 51% |
| 볼린저 밴드 돌파 n=45, k=3 |
8.6% | -29.9% | 0.53 | 0.29 | 3.5x | 24 | 18% |
| Supertrend period=15, mult=4.4 |
11.7% | -59.5% | 0.52 | 0.20 | 5.3x | 48 | 53% |
| ADX / DI 방향성 period=32, threshold=16 |
8.5% | -39.7% | 0.47 | 0.21 | 3.4x | 48 | 27% |
| EMA 크로스오버 fast=55, slow=199 |
9.3% | -55.2% | 0.45 | 0.17 | 3.8x | 17 | 54% |
| Donchian 채널 돌파 entryN=48, exitN=28 |
8.4% | -61.3% | 0.44 | 0.14 | 3.4x | 42 | 40% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=20, mult=2.1 |
5.5% | -61.6% | 0.34 | 0.09 | 2.2x | 60 | 37% |
| ROC 모멘텀 n=187, threshold=-0.04 |
5.5% | -77.6% | 0.33 | 0.07 | 2.2x | 95 | 60% |
| MACD fast=21, slow=49, signal=19 |
2.4% | -45.6% | 0.23 | 0.05 | 1.4x | 148 | 49% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-2.9% | -67.0% | 0.06 | -0.04 | 0.6x | 248 | 53% |
| Buy and hold | 12.3% | -84.2% | 0.49 | 0.15 | 5.7x | 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 48-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 48-day average falls below the 210-day average