Trend-Following Backtester · Guide · backtest 한국어
equity · KR
이마트 backtest
10 trend-following strategies were compared on the full daily history of 이마트. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -10.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -6.6%, drawdown -83.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.5%, MDD -39.1%, Sharpe 0.22, 30% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 44.1%p (CAGR -0.1%, MDD -10.6%, exposure 1%).
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=80, exitN=37 |
2.5% | -39.1% | 0.22 | 0.06 | 1.5x | 20 | 30% |
| SMA 크로스오버 fast=33, slow=203 |
1.8% | -37.7% | 0.19 | 0.05 | 1.3x | 20 | 34% |
| EMA 크로스오버 fast=47, slow=155 |
0.8% | -38.0% | 0.15 | 0.02 | 1.1x | 16 | 36% |
| Supertrend period=26, mult=4.8 |
-1.9% | -59.7% | 0.05 | -0.03 | 0.7x | 38 | 49% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=31, mult=3.5 |
0.0% | -15.6% | 0.03 | 0.00 | 1.0x | 10 | 2% |
| ROC 모멘텀 n=99, threshold=0.05 |
-1.6% | -56.4% | 0.03 | -0.03 | 0.8x | 112 | 30% |
| ADX / DI 방향성 period=50, threshold=24 |
-0.1% | -10.6% | -0.01 | -0.01 | 1.0x | 4 | 1% |
| 볼린저 밴드 돌파 n=54, k=3 |
-1.9% | -43.2% | -0.04 | -0.04 | 0.8x | 30 | 17% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-15.5% | -95.0% | -0.60 | -0.16 | 0.1x | 128 | 43% |
| MACD fast=6, slow=49, signal=17 |
-18.7% | -96.5% | -0.75 | -0.19 | 0.0x | 283 | 48% |
| Buy and hold | -6.6% | -83.2% | -0.03 | -0.08 | 0.4x | 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 80 days
- Sell — Sell when price breaks below the lowest low of the last 37 days