Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HD현대마린엔진 backtest
10 trend-following strategies were compared on the full daily history of HD현대마린엔진. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -45.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -32.1%, drawdown -100.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.1%, MDD -56.7%, Sharpe 0.48, 24% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 12.0%, MDD -73.6%, exposure 29%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 43.2%p higher than buy and hold, while drawdown improves by 43.3%p (CAGR 7.4%, MDD -45.5%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=7, slow=282 |
11.1% | -56.7% | 0.48 | 0.20 | 6.2x | 20 | 24% |
| 볼린저 밴드 돌파 n=19, k=1.2 |
12.0% | -73.6% | 0.47 | 0.16 | 7.0x | 186 | 29% |
| Supertrend period=21, mult=3 |
10.6% | -77.2% | 0.44 | 0.14 | 5.6x | 94 | 32% |
| Donchian 채널 돌파 entryN=113, exitN=10 |
7.4% | -45.5% | 0.40 | 0.16 | 3.4x | 28 | 13% |
| ADX / DI 방향성 period=9, threshold=31 |
6.0% | -88.7% | 0.35 | 0.07 | 2.7x | 182 | 28% |
| ROC 모멘텀 n=29, threshold=0.1 |
5.5% | -79.3% | 0.33 | 0.07 | 2.5x | 176 | 23% |
| MACD fast=5, slow=30, signal=4 |
3.1% | -88.4% | 0.32 | 0.04 | 1.7x | 496 | 53% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=30, mult=3.6 |
2.6% | -87.5% | 0.31 | 0.03 | 1.5x | 34 | 18% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-6.3% | -95.8% | 0.16 | -0.07 | 0.3x | 248 | 46% |
| SMA 크로스오버 fast=45, slow=181 |
-4.8% | -97.1% | 0.15 | -0.05 | 0.4x | 20 | 35% |
| Buy and hold | -32.1% | -100.0% | -0.16 | -0.32 | 0.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 7-day EMA crosses above the 282-day EMA
- Sell — Sell when the 7-day EMA falls below the 282-day EMA