Trend-Following Backtester · Guide · backtest 한국어
equity · KR
영원무역 backtest
10 trend-following strategies were compared on the full daily history of 영원무역. 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 13.4%, drawdown -75.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.4%, MDD -58.8%, Sharpe 0.45, 60% 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=46, slow=218 |
9.4% | -58.8% | 0.45 | 0.16 | 4.7x | 23 | 60% |
| SMA 크로스오버 fast=53, slow=219 |
8.6% | -69.4% | 0.42 | 0.12 | 4.1x | 23 | 63% |
| Donchian 채널 돌파 entryN=33, exitN=75 |
8.8% | -72.9% | 0.42 | 0.12 | 4.2x | 33 | 74% |
| Supertrend period=15, mult=5 |
7.0% | -69.5% | 0.37 | 0.10 | 3.2x | 43 | 66% |
| Parabolic SAR step=0.01, maxStep=0.34 |
5.6% | -71.2% | 0.34 | 0.08 | 2.6x | 220 | 48% |
| ROC 모멘텀 n=138, threshold=0.05 |
3.3% | -78.1% | 0.26 | 0.04 | 1.7x | 136 | 53% |
| MACD fast=17, slow=27, signal=14 |
1.0% | -73.5% | 0.18 | 0.01 | 1.2x | 244 | 49% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=9, mult=1.4 |
0.8% | -73.6% | 0.17 | 0.01 | 1.2x | 110 | 42% |
| ADX / DI 방향성 period=27, threshold=13 |
0.4% | -70.7% | 0.15 | 0.00 | 1.1x | 162 | 41% |
| 볼린저 밴드 돌파 n=47, k=1.5 |
-0.8% | -71.4% | 0.10 | -0.01 | 0.9x | 112 | 39% |
| Buy and hold | 13.4% | -75.2% | 0.52 | 0.18 | 8.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 218-day EMA
- Sell — Sell when the 46-day EMA falls below the 218-day EMA