Trend-Following Backtester · Guide · backtest 한국어
equity · KR
두산퓨얼셀 backtest
10 trend-following strategies were compared on the full daily history of 두산퓨얼셀. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 35.4%, MDD -37.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 24.9%, drawdown -81.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 35.4%, MDD -37.0%, Sharpe 0.91, 24% exposure.
CAGR reference leader: Supertrend — CAGR 39.2%, MDD -69.8%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 35.4%, MDD -37.0%, exposure 24%).
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=119, exitN=27 |
35.4% | -37.0% | 0.91 | 0.96 | 7.8x | 8 | 24% |
| Supertrend period=11, mult=3.6 |
39.2% | -69.8% | 0.87 | 0.56 | 9.5x | 32 | 57% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=29, mult=3.9 |
30.7% | -57.1% | 0.86 | 0.54 | 6.2x | 12 | 19% |
| EMA 크로스오버 fast=28, slow=132 |
36.1% | -64.3% | 0.84 | 0.56 | 8.1x | 12 | 43% |
| 볼린저 밴드 돌파 n=54, k=2.3 |
30.8% | -46.8% | 0.83 | 0.66 | 6.2x | 14 | 21% |
| SMA 크로스오버 fast=17, slow=130 |
33.8% | -71.5% | 0.81 | 0.47 | 7.2x | 22 | 44% |
| MACD fast=14, slow=54, signal=12 |
31.6% | -64.1% | 0.81 | 0.49 | 6.5x | 88 | 47% |
| ADX / DI 방향성 period=10, threshold=19 |
33.1% | -71.6% | 0.80 | 0.46 | 7.0x | 114 | 47% |
| ROC 모멘텀 n=137, threshold=0 |
25.0% | -76.9% | 0.68 | 0.32 | 4.5x | 40 | 44% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-2.8% | -87.4% | 0.19 | -0.03 | 0.8x | 142 | 49% |
| Buy and hold | 24.9% | -81.4% | 0.67 | 0.31 | 4.5x | 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 119 days
- Sell — Sell when price breaks below the lowest low of the last 27 days