Trend-Following Backtester · Guide · backtest 한국어
equity · KR
넷마블 backtest
10 trend-following strategies were compared on the full daily history of 넷마블. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -15.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.4%, drawdown -82.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.0%, MDD -22.9%, Sharpe 0.51, 8% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 59.6%p (CAGR 2.3%, MDD -15.8%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=29, mult=3.9 |
6.0% | -22.9% | 0.51 | 0.26 | 1.7x | 8 | 8% |
| 볼린저 밴드 돌파 n=23, k=3.4 |
4.0% | -25.2% | 0.46 | 0.16 | 1.4x | 4 | 4% |
| ADX / DI 방향성 period=13, threshold=48 |
2.3% | -15.8% | 0.33 | 0.15 | 1.2x | 6 | 2% |
| ROC 모멘텀 n=59, threshold=0.23 |
1.3% | -30.7% | 0.16 | 0.04 | 1.1x | 44 | 10% |
| EMA 크로스오버 fast=45, slow=202 |
-0.4% | -50.0% | 0.09 | -0.01 | 1.0x | 8 | 27% |
| SMA 크로스오버 fast=40, slow=87 |
-4.3% | -58.9% | -0.02 | -0.07 | 0.7x | 34 | 41% |
| Donchian 채널 돌파 entryN=27, exitN=65 |
-9.6% | -71.9% | -0.13 | -0.13 | 0.4x | 26 | 61% |
| Supertrend period=22, mult=3.8 |
-8.4% | -68.5% | -0.14 | -0.12 | 0.4x | 40 | 43% |
| MACD fast=18, slow=55, signal=11 |
-12.1% | -76.0% | -0.25 | -0.16 | 0.3x | 123 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-13.4% | -78.1% | -0.32 | -0.17 | 0.3x | 117 | 49% |
| Buy and hold | -14.4% | -82.5% | -0.14 | -0.17 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 32-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 32-day average