Trend-Following Backtester · Guide · backtest 한국어
equity · KR
후성 backtest
10 trend-following strategies were compared on the full daily history of 후성. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -85.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.2%, MDD -69.1%, Sharpe 0.46, 50% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=65, slow=194 |
11.2% | -69.1% | 0.46 | 0.16 | 8.1x | 19 | 50% |
| SMA 크로스오버 fast=67, slow=204 |
9.4% | -69.1% | 0.42 | 0.14 | 5.8x | 25 | 46% |
| Supertrend period=14, mult=4.1 |
7.7% | -70.4% | 0.38 | 0.11 | 4.3x | 80 | 48% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=26, mult=3.2 |
6.9% | -61.2% | 0.38 | 0.11 | 3.7x | 52 | 13% |
| ADX / DI 방향성 period=21, threshold=41 |
4.8% | -51.0% | 0.36 | 0.09 | 2.5x | 10 | 3% |
| Donchian 채널 돌파 entryN=14, exitN=48 |
4.8% | -76.8% | 0.34 | 0.06 | 2.5x | 83 | 70% |
| Parabolic SAR step=0.015, maxStep=0.3 |
5.6% | -80.1% | 0.34 | 0.07 | 2.9x | 318 | 48% |
| 볼린저 밴드 돌파 n=16, k=3.3 |
3.8% | -49.3% | 0.32 | 0.08 | 2.1x | 18 | 3% |
| ROC 모멘텀 n=46, threshold=0.07 |
1.0% | -84.9% | 0.22 | 0.01 | 1.2x | 240 | 35% |
| MACD fast=17, slow=32, signal=11 |
0.2% | -92.4% | 0.21 | 0.00 | 1.0x | 285 | 51% |
| Buy and hold | 11.7% | -85.6% | 0.48 | 0.14 | 8.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 65-day EMA crosses above the 194-day EMA
- Sell — Sell when the 65-day EMA falls below the 194-day EMA