Trend-Following Backtester · Guide · backtest 한국어
equity · KR
ACE 종합채권(AA-이상)액티브 backtest
10 trend-following strategies were compared on the full daily history of ACE 종합채권(AA-이상)액티브. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.9%, MDD -2.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.1%, drawdown -12.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 1.8%, MDD -3.0%, Sharpe 0.71, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 9.6%p (CAGR 0.9%, MDD -2.1%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=5, slow=148 |
1.8% | -3.0% | 0.71 | 0.62 | 1.1x | 8 | 49% |
| Donchian 채널 돌파 entryN=96, exitN=44 |
1.6% | -2.6% | 0.69 | 0.61 | 1.1x | 6 | 40% |
| SMA 크로스오버 fast=25, slow=129 |
1.5% | -3.9% | 0.62 | 0.40 | 1.1x | 6 | 45% |
| ROC 모멘텀 n=172, threshold=0.01 |
1.5% | -3.3% | 0.59 | 0.46 | 1.1x | 4 | 44% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=15, mult=4 |
1.3% | -3.6% | 0.59 | 0.35 | 1.1x | 8 | 30% |
| 볼린저 밴드 돌파 n=72, k=2.9 |
0.9% | -2.1% | 0.59 | 0.45 | 1.1x | 2 | 16% |
| ADX / DI 방향성 period=17, threshold=25 |
0.4% | -4.2% | 0.18 | 0.09 | 1.0x | 18 | 25% |
| Supertrend period=18, mult=5 |
-0.0% | -9.8% | 0.01 | -0.00 | 1.0x | 22 | 55% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.8% | -15.8% | -0.99 | -0.18 | 0.8x | 40 | 44% |
| MACD fast=15, slow=45, signal=23 |
-3.6% | -20.1% | -1.24 | -0.18 | 0.8x | 55 | 46% |
| Buy and hold | 0.1% | -12.6% | 0.05 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 5-day EMA crosses above the 148-day EMA
- Sell — Sell when the 5-day EMA falls below the 148-day EMA