Trend-Following Backtester · Guide · backtest 한국어
equity · KR
효성티앤씨 backtest
10 trend-following strategies were compared on the full daily history of 효성티앤씨. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.4%, MDD -17.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.7%, drawdown -79.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.0%, MDD -20.0%, Sharpe 0.98, 22% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 26.2%, MDD -29.3%, exposure 22%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 22.3%p higher than buy and hold, while drawdown improves by 59.9%p (CAGR 16.4%, MDD -17.6%, exposure 7%).
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=54, exitN=8 |
25.0% | -20.0% | 0.98 | 1.25 | 6.0x | 28 | 22% |
| 볼린저 밴드 돌파 n=46, k=2.5 |
26.2% | -29.3% | 0.96 | 0.89 | 6.5x | 16 | 22% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=19, mult=2.9 |
25.7% | -29.3% | 0.96 | 0.88 | 6.3x | 14 | 20% |
| ADX / DI 방향성 period=35, threshold=32 |
16.4% | -17.6% | 0.92 | 0.93 | 3.4x | 2 | 7% |
| ROC 모멘텀 n=71, threshold=0.11 |
22.9% | -47.6% | 0.82 | 0.48 | 5.3x | 58 | 27% |
| EMA 크로스오버 fast=40, slow=62 |
24.0% | -42.2% | 0.82 | 0.57 | 5.7x | 16 | 36% |
| SMA 크로스오버 fast=10, slow=102 |
23.6% | -41.1% | 0.80 | 0.58 | 5.5x | 22 | 39% |
| Parabolic SAR step=0.01, maxStep=0.14 |
16.9% | -47.9% | 0.62 | 0.35 | 3.5x | 105 | 48% |
| Supertrend period=14, mult=2.4 |
16.7% | -52.2% | 0.61 | 0.32 | 3.5x | 69 | 52% |
| MACD fast=14, slow=66, signal=15 |
13.7% | -51.6% | 0.55 | 0.26 | 2.8x | 83 | 50% |
| Buy and hold | 2.7% | -79.9% | 0.30 | 0.03 | 1.2x | 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 54 days
- Sell — Sell when price breaks below the lowest low of the last 8 days