Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Life & Banc Split Corp A 2006-29.11.18 Ext to 30.10.23 Further Ext to 30.10.28 backtest
10 trend-following strategies were compared on the full daily history of Life & Banc Split Corp A 2006-29.11.18 Ext to 30.10.23 Further Ext to 30.10.28. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.9%, MDD -28.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.4%, drawdown -86.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.9%, MDD -28.2%, Sharpe 0.52, 25% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 58.6%p (CAGR 7.9%, MDD -28.2%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=51, threshold=0.09 |
7.9% | -28.2% | 0.52 | 0.28 | 4.5x | 177 | 25% |
| ADX / DI 방향성 period=38, threshold=12 |
7.6% | -30.2% | 0.52 | 0.25 | 4.3x | 109 | 27% |
| EMA 크로스오버 fast=27, slow=212 |
7.5% | -42.1% | 0.52 | 0.18 | 4.2x | 23 | 47% |
| Donchian 채널 돌파 entryN=95, exitN=71 |
7.9% | -41.9% | 0.51 | 0.19 | 4.5x | 23 | 42% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
7.0% | -32.8% | 0.48 | 0.21 | 3.8x | 75 | 34% |
| SMA 크로스오버 fast=33, slow=168 |
7.1% | -52.4% | 0.44 | 0.14 | 3.9x | 37 | 51% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=19, mult=3.3 |
5.1% | -39.2% | 0.43 | 0.13 | 2.7x | 45 | 24% |
| Supertrend period=19, mult=5 |
5.9% | -47.9% | 0.37 | 0.12 | 3.1x | 59 | 55% |
| Parabolic SAR step=0.04, maxStep=0.26 |
2.2% | -57.8% | 0.21 | 0.04 | 1.5x | 578 | 55% |
| MACD fast=19, slow=37, signal=18 |
-5.8% | -83.0% | -0.11 | -0.07 | 0.3x | 254 | 49% |
| Buy and hold | 1.4% | -86.8% | 0.25 | 0.02 | 1.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 51-day return is greater than 9%
- Sell — Sell when the 51-day return drops to 9% or below