Trend-Following Backtester · Guide · backtest 한국어
equity · KR
롯데웰푸드 backtest
10 trend-following strategies were compared on the full daily history of 롯데웰푸드. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -13.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.8%, drawdown -53.1%).
Sharpe leader (same as main): Supertrend — CAGR 3.6%, MDD -43.2%, Sharpe 0.28, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 9.9%p (CAGR 1.1%, MDD -13.1%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=4.8 |
3.6% | -43.2% | 0.28 | 0.08 | 1.4x | 21 | 48% |
| SMA 크로스오버 fast=48, slow=100 |
2.1% | -39.0% | 0.21 | 0.06 | 1.2x | 24 | 40% |
| ADX / DI 방향성 period=16, threshold=38 |
1.1% | -13.1% | 0.20 | 0.09 | 1.1x | 7 | 3% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=4 |
1.3% | -37.1% | 0.17 | 0.04 | 1.1x | 9 | 9% |
| Donchian 채널 돌파 entryN=147, exitN=13 |
1.2% | -32.5% | 0.16 | 0.04 | 1.1x | 13 | 10% |
| Parabolic SAR step=0.04, maxStep=0.34 |
0.4% | -44.4% | 0.13 | 0.01 | 1.0x | 265 | 48% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
0.7% | -17.8% | 0.12 | 0.04 | 1.1x | 6 | 8% |
| MACD fast=15, slow=45, signal=8 |
-0.2% | -51.8% | 0.10 | -0.00 | 1.0x | 129 | 51% |
| EMA 크로스오버 fast=7, slow=95 |
-1.2% | -51.9% | 0.04 | -0.02 | 0.9x | 41 | 39% |
| ROC 모멘텀 n=72, threshold=0.08 |
-2.7% | -37.0% | -0.08 | -0.07 | 0.8x | 89 | 23% |
| Buy and hold | -2.8% | -53.1% | 0.06 | -0.05 | 0.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)