Trend-Following Backtester · Guide · backtest 한국어
equity · KR
DL이앤씨 backtest
10 trend-following strategies were compared on the full daily history of DL이앤씨. 7 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 8.0%, MDD -16.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.1%, drawdown -62.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.6%, MDD -18.1%, Sharpe 0.58, 4% exposure.
CAGR reference leader: Supertrend — CAGR 13.8%, MDD -44.5%, exposure 44%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 44.3%p (CAGR 8.0%, MDD -16.4%, exposure 4%).
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=20, k=3.4 |
8.6% | -18.1% | 0.58 | 0.48 | 1.6x | 4 | 4% |
| Supertrend period=28, mult=1.7 |
13.8% | -44.5% | 0.57 | 0.31 | 2.1x | 69 | 44% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=15, mult=2.8 |
8.0% | -16.4% | 0.55 | 0.49 | 1.5x | 4 | 4% |
| EMA 크로스오버 fast=52, slow=257 |
10.3% | -48.9% | 0.46 | 0.21 | 1.7x | 3 | 33% |
| Donchian 채널 돌파 entryN=115, exitN=39 |
9.2% | -35.6% | 0.45 | 0.26 | 1.6x | 6 | 19% |
| SMA 크로스오버 fast=37, slow=56 |
7.8% | -57.5% | 0.39 | 0.14 | 1.5x | 22 | 45% |
| ROC 모멘텀 n=67, threshold=0.1 |
4.6% | -42.3% | 0.30 | 0.11 | 1.3x | 36 | 26% |
| Parabolic SAR step=0.05, maxStep=0.1 |
-0.6% | -56.8% | 0.14 | -0.01 | 1.0x | 139 | 48% |
| MACD fast=10, slow=54, signal=19 |
-4.7% | -54.8% | 0.01 | -0.09 | 0.8x | 71 | 49% |
| ADX / DI 방향성 period=13, threshold=22 |
-4.3% | -61.2% | -0.01 | -0.07 | 0.8x | 70 | 31% |
| Buy and hold | 2.1% | -62.4% | 0.27 | 0.03 | 1.1x | 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 20-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 20-day middle average