Trend-Following Backtester · Guide · backtest 한국어

equity · KR

GS backtest

10 trend-following strategies were compared on the full daily history of GS. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.1%, MDD -47.3%).

Data 2004-08-05 ~ 2026-07-31daily bars 5,447 (22.0 years)Costs 0.5%Venue XKRXMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 5.9%, drawdown -72.1%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -62.0%, Sharpe 0.38, 61% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 6.1%, MDD -47.3%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=110, exitN=137
6.9%-62.0%0.380.114.3x1961%
SMA 크로스오버
fast=28, slow=213
6.1%-47.3%0.360.133.7x2951%
EMA 크로스오버
fast=55, slow=213
5.8%-59.6%0.350.103.4x2752%
Supertrend
period=7, mult=5
2.7%-52.4%0.240.051.8x5958%
ROC 모멘텀
n=42, threshold=-0.01
2.3%-67.2%0.220.031.7x30155%
볼린저 밴드 돌파
n=41, k=0.9
-0.3%-71.8%0.10-0.000.9x19741%
MACD
fast=10, slow=40, signal=19
-0.9%-80.0%0.08-0.010.8x29149%
Parabolic SAR
step=0.01, maxStep=0.1
-1.7%-81.3%0.05-0.020.7x27950%
Keltner 채널 돌파
emaPeriod=50, atrPeriod=17, mult=2.5
-1.2%-61.2%0.04-0.020.8x8727%
ADX / DI 방향성
period=21, threshold=36
-0.1%-18.7%0.01-0.001.0x102%
Buy and hold5.9%-72.1%0.340.083.6x1100%
1x 2005 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -18% -36% -54% -72% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -62.0% (2011-04-21 → 2022-07-06), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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