Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한진칼 backtest
10 trend-following strategies were compared on the full daily history of 한진칼. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.0%, drawdown -67.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -64.3%, Sharpe 0.45, 76% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=24, exitN=65 |
10.2% | -64.3% | 0.45 | 0.16 | 3.5x | 32 | 76% |
| MACD fast=19, slow=32, signal=19 |
8.7% | -76.4% | 0.41 | 0.11 | 2.9x | 130 | 50% |
| Supertrend period=12, mult=5 |
8.4% | -65.7% | 0.40 | 0.13 | 2.8x | 34 | 58% |
| EMA 크로스오버 fast=58, slow=160 |
7.7% | -68.8% | 0.39 | 0.11 | 2.6x | 19 | 56% |
| ROC 모멘텀 n=39, threshold=-0.09 |
5.1% | -77.7% | 0.36 | 0.07 | 1.9x | 192 | 74% |
| 볼린저 밴드 돌파 n=24, k=2.8 |
5.6% | -49.8% | 0.34 | 0.11 | 2.0x | 36 | 12% |
| SMA 크로스오버 fast=56, slow=191 |
4.3% | -59.3% | 0.33 | 0.07 | 1.7x | 25 | 55% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=20, mult=1.8 |
4.6% | -59.3% | 0.30 | 0.08 | 1.8x | 80 | 22% |
| ADX / DI 방향성 period=28, threshold=26 |
4.4% | -60.1% | 0.30 | 0.07 | 1.7x | 22 | 16% |
| Parabolic SAR step=0.04, maxStep=0.16 |
-2.9% | -80.1% | 0.15 | -0.04 | 0.7x | 363 | 50% |
| Buy and hold | 19.0% | -67.9% | 0.59 | 0.28 | 9.4x | 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 24 days
- Sell — Sell when price breaks below the lowest low of the last 65 days