Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대백화점 backtest
10 trend-following strategies were compared on the full daily history of 현대백화점. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.5%, MDD -57.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.1%, drawdown -79.2%).
Sharpe leader (same as main): Supertrend — CAGR 7.6%, MDD -65.6%, Sharpe 0.40, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 13.6%p (CAGR 5.5%, MDD -57.5%, exposure 32%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.4 |
7.6% | -65.6% | 0.40 | 0.12 | 5.8x | 66 | 53% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=28, mult=2.7 |
5.5% | -57.5% | 0.35 | 0.10 | 3.6x | 66 | 32% |
| 볼린저 밴드 돌파 n=47, k=1.8 |
4.9% | -57.4% | 0.32 | 0.09 | 3.1x | 120 | 35% |
| Donchian 채널 돌파 entryN=66, exitN=72 |
4.5% | -75.0% | 0.30 | 0.06 | 2.8x | 42 | 58% |
| SMA 크로스오버 fast=20, slow=155 |
3.9% | -75.2% | 0.28 | 0.05 | 2.5x | 50 | 50% |
| EMA 크로스오버 fast=54, slow=219 |
3.2% | -76.1% | 0.25 | 0.04 | 2.1x | 29 | 49% |
| MACD fast=21, slow=58, signal=17 |
2.9% | -78.2% | 0.24 | 0.04 | 2.0x | 236 | 52% |
| ROC 모멘텀 n=134, threshold=0.13 |
2.3% | -69.5% | 0.22 | 0.03 | 1.7x | 140 | 32% |
| ADX / DI 방향성 period=22, threshold=15 |
1.7% | -74.2% | 0.19 | 0.02 | 1.5x | 230 | 36% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-7.9% | -96.2% | -0.18 | -0.08 | 0.1x | 518 | 50% |
| Buy and hold | 5.1% | -79.2% | 0.32 | 0.06 | 3.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)