Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HD건설기계 backtest
10 trend-following strategies were compared on the full daily history of HD건설기계. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.2%, MDD -45.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.6%, drawdown -89.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.8%, MDD -61.5%, Sharpe 0.61, 92% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 11.2%, MDD -45.5%, exposure 46%).
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=5, exitN=110 |
19.8% | -61.5% | 0.61 | 0.32 | 5.3x | 25 | 92% |
| ADX / DI 방향성 period=35, threshold=17 |
12.4% | -47.6% | 0.52 | 0.26 | 2.9x | 24 | 35% |
| EMA 크로스오버 fast=37, slow=91 |
11.9% | -49.6% | 0.48 | 0.24 | 2.8x | 22 | 51% |
| SMA 크로스오버 fast=17, slow=190 |
11.2% | -45.5% | 0.47 | 0.25 | 2.7x | 18 | 46% |
| Supertrend period=17, mult=5 |
10.5% | -67.5% | 0.45 | 0.16 | 2.5x | 22 | 64% |
| ROC 모멘텀 n=145, threshold=0.13 |
8.3% | -57.3% | 0.40 | 0.14 | 2.1x | 59 | 42% |
| Parabolic SAR step=0.025, maxStep=0.16 |
7.4% | -56.0% | 0.38 | 0.13 | 1.9x | 194 | 49% |
| 볼린저 밴드 돌파 n=75, k=1.3 |
6.6% | -52.1% | 0.36 | 0.13 | 1.8x | 34 | 40% |
| MACD fast=17, slow=24, signal=12 |
-0.1% | -53.6% | 0.18 | -0.00 | 1.0x | 133 | 48% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=3.4 |
1.3% | -28.0% | 0.17 | 0.05 | 1.1x | 10 | 4% |
| Buy and hold | 8.6% | -89.5% | 0.43 | 0.10 | 2.1x | 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 5 days
- Sell — Sell when price breaks below the lowest low of the last 110 days