Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대오토에버 backtest
10 trend-following strategies were compared on the full daily history of 현대오토에버. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 25.0%, MDD -41.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 23.3%, drawdown -75.6%).
Sharpe leader (same as main): MACD — CAGR 41.4%, MDD -48.1%, Sharpe 1.02, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.1%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 25.0%, MDD -41.7%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=10, slow=42, signal=19 |
41.4% | -48.1% | 1.02 | 0.86 | 13.1x | 81 | 48% |
| Supertrend period=36, mult=2.2 |
35.8% | -50.1% | 0.95 | 0.71 | 9.7x | 75 | 43% |
| ADX / DI 방향성 period=11, threshold=23 |
35.0% | -43.6% | 0.90 | 0.80 | 9.3x | 96 | 41% |
| Donchian 채널 돌파 entryN=135, exitN=37 |
32.2% | -53.2% | 0.87 | 0.61 | 8.0x | 6 | 28% |
| Parabolic SAR step=0.005, maxStep=0.22 |
31.1% | -45.6% | 0.85 | 0.68 | 7.5x | 55 | 46% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=24, mult=0.7 |
30.6% | -44.5% | 0.82 | 0.69 | 7.3x | 68 | 43% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
25.0% | -41.7% | 0.80 | 0.60 | 5.3x | 8 | 16% |
| ROC 모멘텀 n=149, threshold=0.09 |
29.2% | -66.4% | 0.78 | 0.44 | 6.7x | 46 | 41% |
| SMA 크로스오버 fast=39, slow=171 |
26.6% | -66.4% | 0.73 | 0.40 | 5.7x | 12 | 51% |
| EMA 크로스오버 fast=21, slow=142 |
22.4% | -60.4% | 0.66 | 0.37 | 4.5x | 22 | 53% |
| Buy and hold | 23.3% | -75.6% | 0.65 | 0.31 | 4.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (10/42) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line