Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대로템 backtest
10 trend-following strategies were compared on the full daily history of 현대로템. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.2%, MDD -33.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 10.2%, drawdown -78.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.2%, MDD -33.0%, Sharpe 0.58, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.4%, MDD -56.2%, exposure 58%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 13.2%, MDD -33.0%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=49, k=3.3 |
13.2% | -33.0% | 0.58 | 0.40 | 4.9x | 20 | 17% |
| Donchian 채널 돌파 entryN=54, exitN=96 |
15.4% | -56.2% | 0.56 | 0.27 | 6.3x | 16 | 58% |
| SMA 크로스오버 fast=46, slow=284 |
14.7% | -53.6% | 0.55 | 0.27 | 5.8x | 10 | 54% |
| EMA 크로스오버 fast=64, slow=201 |
12.2% | -51.8% | 0.49 | 0.24 | 4.4x | 12 | 52% |
| Supertrend period=27, mult=5 |
11.7% | -50.7% | 0.49 | 0.23 | 4.2x | 36 | 52% |
| ADX / DI 방향성 period=39, threshold=14 |
10.9% | -63.9% | 0.47 | 0.17 | 3.8x | 56 | 37% |
| ROC 모멘텀 n=98, threshold=0 |
10.8% | -54.7% | 0.46 | 0.20 | 3.7x | 120 | 48% |
| Parabolic SAR step=0.015, maxStep=0.1 |
10.0% | -58.3% | 0.44 | 0.17 | 3.4x | 192 | 49% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=14, mult=1.7 |
6.7% | -72.7% | 0.36 | 0.09 | 2.3x | 76 | 32% |
| MACD fast=11, slow=40, signal=17 |
5.8% | -58.3% | 0.34 | 0.10 | 2.1x | 191 | 50% |
| Buy and hold | 10.2% | -78.2% | 0.45 | 0.13 | 3.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 49-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 49-day middle average