Trend-Following Backtester · Guide · backtest 한국어
equity · KR
롯데렌탈 backtest
10 trend-following strategies were compared on the full daily history of 롯데렌탈. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.1%, MDD -8.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.2%, drawdown -54.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.7%, MDD -13.4%, Sharpe 0.92, 18% exposure.
CAGR reference leader: MACD — CAGR 13.8%, MDD -35.8%, exposure 55%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 7.1%, MDD -8.6%, exposure 5%).
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=18, atrPeriod=25, mult=2 |
12.7% | -13.4% | 0.92 | 0.94 | 1.8x | 17 | 18% |
| ROC 모멘텀 n=29, threshold=0.18 |
7.1% | -8.6% | 0.82 | 0.83 | 1.4x | 7 | 5% |
| MACD fast=18, slow=32, signal=17 |
13.8% | -35.8% | 0.78 | 0.39 | 1.9x | 51 | 55% |
| ADX / DI 방향성 period=11, threshold=30 |
7.8% | -19.0% | 0.60 | 0.41 | 1.5x | 35 | 21% |
| 볼린저 밴드 돌파 n=28, k=1.6 |
7.6% | -28.6% | 0.55 | 0.27 | 1.4x | 33 | 31% |
| Donchian 채널 돌파 entryN=52, exitN=6 |
6.5% | -24.6% | 0.53 | 0.26 | 1.4x | 19 | 19% |
| Parabolic SAR step=0.005, maxStep=0.22 |
5.9% | -29.4% | 0.41 | 0.20 | 1.3x | 39 | 46% |
| Supertrend period=29, mult=2.7 |
5.2% | -36.6% | 0.37 | 0.14 | 1.3x | 31 | 44% |
| SMA 크로스오버 fast=55, slow=203 |
5.3% | -37.2% | 0.37 | 0.14 | 1.3x | 7 | 39% |
| EMA 크로스오버 fast=51, slow=207 |
2.9% | -30.4% | 0.25 | 0.09 | 1.2x | 7 | 34% |
| Buy and hold | -3.2% | -54.4% | 0.02 | -0.06 | 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 18-day average + 2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average