Trend-Following Backtester · Guide · backtest 한국어
equity · KR
PLUS 200 backtest
10 trend-following strategies were compared on the full daily history of PLUS 200. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -41.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.2%, MDD -40.8%, Sharpe 0.65, 14% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=142, threshold=0.2 |
9.2% | -40.8% | 0.65 | 0.22 | 3.6x | 11 | 14% |
| 볼린저 밴드 돌파 n=46, k=3.1 |
5.5% | -20.1% | 0.65 | 0.27 | 2.2x | 8 | 9% |
| ADX / DI 방향성 period=39, threshold=19 |
6.9% | -25.4% | 0.61 | 0.27 | 2.6x | 26 | 13% |
| Supertrend period=15, mult=4.7 |
7.9% | -26.9% | 0.60 | 0.29 | 3.0x | 56 | 52% |
| Donchian 채널 돌파 entryN=111, exitN=34 |
7.7% | -26.9% | 0.58 | 0.29 | 2.9x | 28 | 33% |
| SMA 크로스오버 fast=55, slow=170 |
9.1% | -40.8% | 0.56 | 0.22 | 3.5x | 21 | 56% |
| EMA 크로스오버 fast=30, slow=98 |
8.3% | -40.8% | 0.53 | 0.20 | 3.2x | 33 | 57% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=2.3 |
6.5% | -33.3% | 0.53 | 0.20 | 2.5x | 74 | 37% |
| Parabolic SAR step=0.005, maxStep=0.42 |
3.4% | -34.2% | 0.32 | 0.10 | 1.6x | 128 | 53% |
| MACD fast=20, slow=40, signal=11 |
3.1% | -46.4% | 0.29 | 0.07 | 1.6x | 180 | 51% |
| Buy and hold | 10.9% | -41.3% | 0.59 | 0.26 | 4.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 142-day return is greater than 20%
- Sell — Sell when the 142-day return drops to 20% or below