Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Capital Power Corporation backtest
10 trend-following strategies were compared on the full daily history of Capital Power Corporation. 0 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 6.2%, MDD -17.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -47.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.2%, MDD -17.9%, Sharpe 0.60, 33% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.3%, MDD -47.4%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 29.5%p (CAGR 6.2%, MDD -17.9%, exposure 33%).
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=110, exitN=22 |
6.2% | -17.9% | 0.60 | 0.35 | 2.8x | 36 | 33% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=20, mult=3.6 |
3.9% | -19.6% | 0.42 | 0.20 | 1.9x | 36 | 31% |
| SMA 크로스오버 fast=76, slow=141 |
6.3% | -47.4% | 0.42 | 0.13 | 2.8x | 29 | 56% |
| Supertrend period=10, mult=4.9 |
5.0% | -39.5% | 0.41 | 0.13 | 2.3x | 42 | 54% |
| EMA 크로스오버 fast=98, slow=154 |
6.0% | -47.4% | 0.40 | 0.13 | 2.7x | 15 | 61% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
1.8% | -10.3% | 0.34 | 0.17 | 1.3x | 14 | 8% |
| ADX / DI 방향성 period=27, threshold=37 |
0.9% | -11.8% | 0.24 | 0.08 | 1.2x | 2 | 1% |
| ROC 모멘텀 n=95, threshold=0.02 |
1.6% | -42.8% | 0.18 | 0.04 | 1.3x | 150 | 51% |
| MACD fast=26, slow=35, signal=23 |
-0.7% | -54.1% | 0.03 | -0.01 | 0.9x | 158 | 52% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.7% | -53.4% | 0.03 | -0.01 | 0.9x | 152 | 55% |
| Buy and hold | 6.9% | -47.4% | 0.41 | 0.15 | 3.1x | 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 110 days
- Sell — Sell when price breaks below the lowest low of the last 22 days