Trend-Following Backtester · Guide · backtest 한국어
equity · KR
PLUS 고배당주 backtest
10 trend-following strategies were compared on the full daily history of PLUS 고배당주. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.4%, MDD -31.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.4%, drawdown -55.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -31.6%, Sharpe 0.42, 85% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 23.7%p (CAGR 5.4%, MDD -31.6%, exposure 85%).
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=67 |
5.4% | -31.6% | 0.42 | 0.17 | 2.1x | 39 | 85% |
| SMA 크로스오버 fast=33, slow=149 |
4.4% | -28.8% | 0.38 | 0.15 | 1.8x | 26 | 58% |
| EMA 크로스오버 fast=40, slow=214 |
4.2% | -28.4% | 0.37 | 0.15 | 1.8x | 21 | 57% |
| Supertrend period=20, mult=2.2 |
2.7% | -33.1% | 0.28 | 0.08 | 1.4x | 151 | 59% |
| ROC 모멘텀 n=138, threshold=-0.01 |
1.8% | -47.8% | 0.20 | 0.04 | 1.3x | 113 | 60% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=20, mult=4 |
1.0% | -24.0% | 0.17 | 0.04 | 1.1x | 28 | 12% |
| 볼린저 밴드 돌파 n=52, k=2.9 |
0.7% | -25.7% | 0.13 | 0.03 | 1.1x | 24 | 14% |
| Parabolic SAR step=0.02, maxStep=0.12 |
0.3% | -39.3% | 0.08 | 0.01 | 1.0x | 265 | 53% |
| ADX / DI 방향성 period=18, threshold=33 |
0.2% | -18.0% | 0.07 | 0.01 | 1.0x | 20 | 6% |
| MACD fast=24, slow=35, signal=19 |
-1.6% | -48.6% | -0.07 | -0.03 | 0.8x | 149 | 52% |
| Buy and hold | 6.4% | -55.3% | 0.44 | 0.12 | 2.4x | 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 67 days