Trend-Following Backtester · Guide · backtest 한국어
equity · KR
롯데리츠 backtest
10 trend-following strategies were compared on the full daily history of 롯데리츠. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.2%, MDD -3.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.6%, drawdown -55.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.6%, MDD -6.3%, Sharpe 0.57, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.6%, MDD -20.5%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 49.5%p (CAGR 0.2%, MDD -3.1%, exposure 1%).
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=14, k=2.9 |
2.6% | -6.3% | 0.57 | 0.42 | 1.2x | 4 | 4% |
| Donchian 채널 돌파 entryN=18, exitN=22 |
6.6% | -20.5% | 0.53 | 0.32 | 1.5x | 29 | 53% |
| ADX / DI 방향성 period=22, threshold=35 |
1.1% | -6.3% | 0.41 | 0.17 | 1.1x | 2 | 3% |
| EMA 크로스오버 fast=7, slow=20 |
4.7% | -18.8% | 0.40 | 0.25 | 1.4x | 61 | 47% |
| SMA 크로스오버 fast=8, slow=40 |
3.3% | -23.6% | 0.31 | 0.14 | 1.2x | 41 | 47% |
| Supertrend period=32, mult=4.3 |
2.4% | -24.0% | 0.25 | 0.10 | 1.2x | 20 | 51% |
| ROC 모멘텀 n=32, threshold=0 |
1.4% | -30.1% | 0.17 | 0.05 | 1.1x | 81 | 48% |
| MACD fast=17, slow=46, signal=15 |
1.3% | -22.2% | 0.17 | 0.06 | 1.1x | 65 | 52% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=29, mult=3.5 |
0.2% | -3.1% | 0.15 | 0.08 | 1.0x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.4% | -31.2% | -0.10 | -0.08 | 0.8x | 54 | 51% |
| Buy and hold | -6.6% | -55.8% | -0.22 | -0.12 | 0.6x | 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 14-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 14-day middle average