Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대글로비스 backtest
10 trend-following strategies were compared on the full daily history of 현대글로비스. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.1%, MDD -58.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.7%, drawdown -77.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.1%, MDD -58.9%, Sharpe 0.50, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 11.1%, MDD -58.9%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=33, slow=120 |
11.1% | -58.9% | 0.50 | 0.19 | 8.7x | 40 | 52% |
| EMA 크로스오버 fast=19, slow=201 |
7.9% | -57.5% | 0.40 | 0.14 | 4.8x | 40 | 55% |
| Donchian 채널 돌파 entryN=12, exitN=73 |
7.8% | -73.5% | 0.39 | 0.11 | 4.7x | 65 | 80% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=3.2 |
2.8% | -18.3% | 0.38 | 0.15 | 1.8x | 8 | 1% |
| Supertrend period=19, mult=4.2 |
3.3% | -68.6% | 0.26 | 0.05 | 1.9x | 72 | 56% |
| ROC 모멘텀 n=124, threshold=0.04 |
3.1% | -64.8% | 0.25 | 0.05 | 1.9x | 192 | 47% |
| ADX / DI 방향성 period=36, threshold=16 |
2.2% | -62.7% | 0.21 | 0.03 | 1.6x | 70 | 23% |
| MACD fast=31, slow=43, signal=19 |
0.5% | -78.9% | 0.16 | 0.01 | 1.1x | 195 | 51% |
| 볼린저 밴드 돌파 n=42, k=2.6 |
0.5% | -56.6% | 0.13 | 0.01 | 1.1x | 74 | 21% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.9% | -80.5% | 0.09 | -0.02 | 0.7x | 169 | 50% |
| Buy and hold | 10.7% | -77.6% | 0.46 | 0.14 | 8.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 33-day average price crosses above the 120-day average
- Sell — Sell (to cash) when the 33-day average falls below the 120-day average