Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Penta-Ocean Construction Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Penta-Ocean Construction Co., Ltd.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.8%, MDD -45.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.0%, drawdown -86.6%).
Sharpe leader (same as main): Supertrend — CAGR 12.5%, MDD -60.2%, Sharpe 0.53, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 26.4%p (CAGR 7.8%, MDD -45.6%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=4.8 |
12.5% | -60.2% | 0.53 | 0.21 | 20.3x | 84 | 53% |
| EMA 크로스오버 fast=30, slow=33 |
12.3% | -48.5% | 0.52 | 0.25 | 19.4x | 100 | 54% |
| SMA 크로스오버 fast=23, slow=63 |
12.3% | -52.8% | 0.52 | 0.23 | 19.3x | 100 | 55% |
| 볼린저 밴드 돌파 n=52, k=1.6 |
10.7% | -46.7% | 0.52 | 0.23 | 13.3x | 110 | 38% |
| Donchian 채널 돌파 entryN=48, exitN=44 |
11.6% | -58.6% | 0.51 | 0.20 | 16.6x | 60 | 52% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=2.4 |
7.8% | -45.6% | 0.42 | 0.17 | 6.8x | 108 | 34% |
| Parabolic SAR step=0.005, maxStep=0.18 |
7.9% | -64.3% | 0.40 | 0.12 | 7.0x | 180 | 51% |
| ROC 모멘텀 n=63, threshold=0.03 |
6.1% | -73.3% | 0.34 | 0.08 | 4.5x | 304 | 48% |
| ADX / DI 방향성 period=17, threshold=39 |
3.1% | -24.9% | 0.34 | 0.12 | 2.2x | 36 | 6% |
| MACD fast=13, slow=50, signal=19 |
1.9% | -72.7% | 0.21 | 0.03 | 1.6x | 290 | 51% |
| Buy and hold | 7.0% | -86.6% | 0.37 | 0.08 | 5.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)