Trend-Following Backtester · Guide · backtest 한국어
equity · KR
두산밥캣 backtest
10 trend-following strategies were compared on the full daily history of 두산밥캣. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.8%, MDD -42.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.1%, drawdown -66.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -45.8%, Sharpe 0.40, 86% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 20.3%p (CAGR 6.8%, MDD -42.0%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=7, exitN=58 |
8.3% | -45.8% | 0.40 | 0.18 | 2.2x | 33 | 86% |
| EMA 크로스오버 fast=44, slow=92 |
6.8% | -42.0% | 0.38 | 0.16 | 1.9x | 18 | 52% |
| SMA 크로스오버 fast=40, slow=112 |
5.7% | -46.9% | 0.34 | 0.12 | 1.7x | 22 | 53% |
| ADX / DI 방향성 period=38, threshold=19 |
4.6% | -36.2% | 0.32 | 0.13 | 1.5x | 14 | 21% |
| MACD fast=18, slow=44, signal=14 |
-1.5% | -47.0% | 0.10 | -0.03 | 0.9x | 110 | 49% |
| ROC 모멘텀 n=89, threshold=-0.04 |
-2.2% | -59.0% | 0.09 | -0.04 | 0.8x | 98 | 61% |
| Supertrend period=9, mult=3.5 |
-2.1% | -56.0% | 0.09 | -0.04 | 0.8x | 44 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-7.4% | -56.2% | -0.10 | -0.13 | 0.5x | 72 | 49% |
| 볼린저 밴드 돌파 n=59, k=2.9 |
-4.0% | -50.0% | -0.11 | -0.08 | 0.7x | 24 | 19% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=24, mult=2.9 |
-5.2% | -53.4% | -0.15 | -0.10 | 0.6x | 30 | 24% |
| Buy and hold | 5.1% | -66.1% | 0.33 | 0.08 | 1.6x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 58 days