Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한국콜마 backtest
10 trend-following strategies were compared on the full daily history of 한국콜마. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.2%, MDD -56.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.2%, drawdown -72.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.2%, MDD -56.6%, Sharpe 0.44, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 15.8%p (CAGR 9.2%, MDD -56.6%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=74 |
9.2% | -56.6% | 0.44 | 0.16 | 3.4x | 43 | 52% |
| MACD fast=23, slow=59, signal=19 |
7.6% | -57.5% | 0.40 | 0.13 | 2.8x | 104 | 52% |
| ADX / DI 방향성 period=20, threshold=26 |
5.7% | -38.4% | 0.40 | 0.15 | 2.1x | 40 | 16% |
| Supertrend period=8, mult=2.6 |
7.4% | -50.4% | 0.39 | 0.15 | 2.7x | 102 | 53% |
| EMA 크로스오버 fast=36, slow=38 |
7.0% | -72.5% | 0.38 | 0.10 | 2.5x | 51 | 54% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
6.2% | -56.0% | 0.36 | 0.11 | 2.3x | 72 | 40% |
| Parabolic SAR step=0.005, maxStep=0.32 |
5.9% | -54.8% | 0.35 | 0.11 | 2.2x | 104 | 52% |
| ROC 모멘텀 n=53, threshold=-0.02 |
5.2% | -79.6% | 0.32 | 0.07 | 2.0x | 160 | 57% |
| Donchian 채널 돌파 entryN=46, exitN=56 |
4.7% | -71.5% | 0.31 | 0.07 | 1.9x | 35 | 56% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=20, mult=2.1 |
2.6% | -57.2% | 0.23 | 0.05 | 1.4x | 74 | 30% |
| Buy and hold | 10.2% | -72.3% | 0.45 | 0.14 | 3.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 74-day average
- Sell — Sell (to cash) when the 26-day average falls below the 74-day average