Trend-Following Backtester · Guide · backtest 한국어
equity · KR
IPARK현대산업개발 backtest
10 trend-following strategies were compared on the full daily history of IPARK현대산업개발. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.6%, MDD -12.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.9%, drawdown -85.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.6%, MDD -12.8%, Sharpe 0.52, 4% exposure.
CAGR reference leader: Supertrend — CAGR 7.2%, MDD -53.2%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.5%p higher than buy and hold, while drawdown improves by 72.8%p (CAGR 4.6%, MDD -12.8%, exposure 4%).
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=15, atrPeriod=16, mult=3.6 |
4.6% | -12.8% | 0.52 | 0.36 | 1.4x | 6 | 4% |
| SMA 크로스오버 fast=15, slow=86 |
7.1% | -33.8% | 0.39 | 0.21 | 1.8x | 27 | 43% |
| Supertrend period=12, mult=3.9 |
7.2% | -53.2% | 0.38 | 0.13 | 1.8x | 27 | 50% |
| EMA 크로스오버 fast=28, slow=48 |
6.2% | -31.5% | 0.36 | 0.20 | 1.6x | 23 | 43% |
| Donchian 채널 돌파 entryN=47, exitN=42 |
5.3% | -31.7% | 0.33 | 0.17 | 1.5x | 17 | 43% |
| 볼린저 밴드 돌파 n=67, k=3.5 |
3.2% | -19.5% | 0.29 | 0.16 | 1.3x | 6 | 9% |
| ADX / DI 방향성 period=25, threshold=29 |
2.1% | -27.7% | 0.25 | 0.08 | 1.2x | 12 | 5% |
| MACD fast=14, slow=49, signal=29 |
1.1% | -62.8% | 0.19 | 0.02 | 1.1x | 69 | 51% |
| ROC 모멘텀 n=72, threshold=-0.02 |
1.2% | -39.1% | 0.19 | 0.03 | 1.1x | 81 | 45% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-6.4% | -65.6% | -0.07 | -0.10 | 0.6x | 63 | 48% |
| Buy and hold | -11.9% | -85.7% | -0.07 | -0.14 | 0.4x | 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 15-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 15-day average