Trend-Following Backtester · Guide · backtest 한국어
equity · KR
카카오뱅크 backtest
10 trend-following strategies were compared on the full daily history of 카카오뱅크. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.8%, MDD -29.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -20.6%, drawdown -82.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -29.1%, Sharpe 0.24, 7% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 23.4%p higher than buy and hold, while drawdown improves by 53.7%p (CAGR 2.8%, MDD -29.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=18, k=3 |
2.8% | -29.1% | 0.24 | 0.10 | 1.2x | 10 | 7% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=15, mult=1.6 |
-1.2% | -35.5% | 0.08 | -0.03 | 0.9x | 32 | 21% |
| MACD fast=23, slow=50, signal=12 |
-3.8% | -50.8% | 0.05 | -0.08 | 0.8x | 51 | 47% |
| SMA 크로스오버 fast=19, slow=26 |
-3.3% | -43.5% | 0.05 | -0.08 | 0.8x | 58 | 41% |
| Supertrend period=26, mult=2.8 |
-3.9% | -49.7% | 0.04 | -0.08 | 0.8x | 33 | 41% |
| Donchian 채널 돌파 entryN=30, exitN=8 |
-2.5% | -38.9% | 0.02 | -0.06 | 0.9x | 24 | 16% |
| Parabolic SAR step=0.045, maxStep=0.22 |
-5.3% | -45.8% | 0.00 | -0.12 | 0.8x | 151 | 45% |
| ADX / DI 방향성 period=24, threshold=22 |
-3.6% | -45.5% | -0.04 | -0.08 | 0.8x | 20 | 16% |
| ROC 모멘텀 n=29, threshold=-0.01 |
-9.7% | -52.3% | -0.16 | -0.19 | 0.6x | 86 | 41% |
| EMA 크로스오버 fast=6, slow=193 |
-6.6% | -43.2% | -0.17 | -0.15 | 0.7x | 14 | 23% |
| Buy and hold | -20.6% | -82.8% | -0.26 | -0.25 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 18-day average (3× volatility)
- Sell — Sell when the close falls back to the 18-day middle average