Trend-Following Backtester · Guide · backtest 한국어
equity · KR
STX엔진 backtest
10 trend-following strategies were compared on the full daily history of STX엔진. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.0%, MDD -67.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.3%, drawdown -99.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.0%, MDD -80.7%, Sharpe 0.49, 26% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 12.1%, MDD -69.8%, exposure 58%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 11.0%, MDD -67.3%, exposure 48%).
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=23, atrPeriod=11, mult=1.6 |
12.0% | -80.7% | 0.49 | 0.15 | 12.4x | 138 | 26% |
| ADX / DI 방향성 period=20, threshold=13 |
12.1% | -69.8% | 0.47 | 0.17 | 12.6x | 212 | 58% |
| SMA 크로스오버 fast=59, slow=206 |
11.0% | -67.3% | 0.45 | 0.16 | 10.1x | 26 | 48% |
| MACD fast=16, slow=45, signal=14 |
10.1% | -88.2% | 0.44 | 0.11 | 8.5x | 234 | 53% |
| Donchian 채널 돌파 entryN=13, exitN=12 |
9.8% | -80.6% | 0.44 | 0.12 | 7.9x | 138 | 44% |
| 볼린저 밴드 돌파 n=12, k=1.4 |
9.9% | -76.1% | 0.43 | 0.13 | 8.2x | 360 | 31% |
| EMA 크로스오버 fast=53, slow=176 |
9.1% | -80.6% | 0.42 | 0.11 | 7.0x | 30 | 45% |
| Supertrend period=11, mult=1.9 |
8.5% | -82.2% | 0.40 | 0.10 | 6.1x | 236 | 43% |
| ROC 모멘텀 n=79, threshold=-0.02 |
4.8% | -93.8% | 0.34 | 0.05 | 2.9x | 204 | 57% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.0% | -96.3% | 0.26 | 0.01 | 1.2x | 152 | 50% |
| Buy and hold | -1.3% | -99.5% | 0.31 | -0.01 | 0.8x | 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 23-day average + 1.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 23-day average