Trend-Following Backtester · Guide · backtest 한국어
equity · KR
일진전기 backtest
10 trend-following strategies were compared on the full daily history of 일진전기. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.8%, MDD -58.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 14.4%, drawdown -90.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.8%, MDD -70.7%, Sharpe 0.66, 74% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 15.8%, MDD -58.5%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=56 |
21.8% | -70.7% | 0.66 | 0.31 | 35.5x | 67 | 74% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=14, mult=1 |
17.1% | -71.8% | 0.60 | 0.24 | 17.3x | 118 | 43% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
15.6% | -61.4% | 0.57 | 0.25 | 13.6x | 102 | 40% |
| EMA 크로스오버 fast=12, slow=43 |
15.8% | -71.0% | 0.57 | 0.22 | 14.1x | 109 | 51% |
| SMA 크로스오버 fast=38, slow=64 |
15.8% | -58.5% | 0.56 | 0.27 | 14.1x | 70 | 52% |
| Supertrend period=23, mult=3 |
15.0% | -70.0% | 0.56 | 0.21 | 12.6x | 115 | 50% |
| MACD fast=18, slow=64, signal=18 |
13.2% | -81.0% | 0.52 | 0.16 | 9.4x | 181 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
11.8% | -62.9% | 0.48 | 0.19 | 7.5x | 137 | 50% |
| ROC 모멘텀 n=120, threshold=0.11 |
10.6% | -55.6% | 0.45 | 0.19 | 6.1x | 120 | 38% |
| ADX / DI 방향성 period=32, threshold=32 |
7.3% | -42.4% | 0.42 | 0.17 | 3.6x | 14 | 10% |
| Buy and hold | 14.4% | -90.7% | 0.52 | 0.16 | 11.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 56 days