Trend-Following Backtester · Guide · backtest 한국어
equity · KR
코스맥스 backtest
10 trend-following strategies were compared on the full daily history of 코스맥스. 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 12.7%, MDD -59.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.1%, drawdown -80.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.7%, MDD -59.6%, Sharpe 0.50, 73% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 21.3%p (CAGR 12.7%, MDD -59.6%, exposure 73%).
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=14, exitN=41 |
12.7% | -59.6% | 0.50 | 0.21 | 4.4x | 51 | 73% |
| SMA 크로스오버 fast=37, slow=89 |
9.9% | -50.2% | 0.45 | 0.20 | 3.2x | 37 | 51% |
| MACD fast=19, slow=37, signal=17 |
8.6% | -74.7% | 0.42 | 0.12 | 2.8x | 137 | 52% |
| Supertrend period=16, mult=2.1 |
8.1% | -75.5% | 0.40 | 0.11 | 2.6x | 125 | 53% |
| ROC 모멘텀 n=149, threshold=-0.02 |
7.9% | -64.6% | 0.40 | 0.12 | 2.6x | 77 | 55% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=20, mult=2.8 |
4.3% | -49.9% | 0.38 | 0.09 | 1.7x | 23 | 9% |
| EMA 크로스오버 fast=59, slow=80 |
6.2% | -60.0% | 0.35 | 0.10 | 2.1x | 29 | 54% |
| Parabolic SAR step=0.03, maxStep=0.2 |
2.1% | -75.8% | 0.23 | 0.03 | 1.3x | 315 | 54% |
| ADX / DI 방향성 period=29, threshold=22 |
1.7% | -49.1% | 0.19 | 0.04 | 1.2x | 43 | 17% |
| 볼린저 밴드 돌파 n=44, k=2.5 |
0.9% | -67.0% | 0.16 | 0.01 | 1.1x | 45 | 25% |
| Buy and hold | 13.1% | -80.9% | 0.50 | 0.16 | 4.6x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 41 days