Trend-Following Backtester · Guide · backtest 한국어
equity · KR
풍산 backtest
10 trend-following strategies were compared on the full daily history of 풍산. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.5%, MDD -36.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.9%, drawdown -76.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.0%, MDD -49.6%, Sharpe 0.63, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 10.5%, MDD -36.3%, exposure 19%).
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=20, slow=58 |
16.0% | -49.6% | 0.63 | 0.32 | 14.4x | 68 | 52% |
| 볼린저 밴드 돌파 n=57, k=2.9 |
10.5% | -36.3% | 0.57 | 0.29 | 6.1x | 26 | 19% |
| Donchian 채널 돌파 entryN=113, exitN=44 |
11.3% | -51.6% | 0.54 | 0.22 | 6.8x | 26 | 36% |
| EMA 크로스오버 fast=14, slow=49 |
11.6% | -57.8% | 0.50 | 0.20 | 7.2x | 90 | 52% |
| Supertrend period=19, mult=4.9 |
10.0% | -53.6% | 0.46 | 0.19 | 5.6x | 50 | 54% |
| ADX / DI 방향성 period=33, threshold=17 |
8.0% | -50.7% | 0.43 | 0.16 | 4.0x | 48 | 27% |
| ROC 모멘텀 n=125, threshold=0.13 |
7.3% | -72.8% | 0.40 | 0.10 | 3.5x | 134 | 35% |
| Parabolic SAR step=0.005, maxStep=0.28 |
6.8% | -66.3% | 0.37 | 0.10 | 3.2x | 148 | 52% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=11, mult=4 |
3.1% | -18.3% | 0.36 | 0.17 | 1.7x | 2 | 1% |
| MACD fast=19, slow=54, signal=19 |
4.8% | -81.2% | 0.31 | 0.06 | 2.3x | 169 | 52% |
| Buy and hold | 9.9% | -76.5% | 0.44 | 0.13 | 5.4x | 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 20-day average price crosses above the 58-day average
- Sell — Sell (to cash) when the 20-day average falls below the 58-day average