Trend-Following Backtester · Guide · backtest 한국어
equity · KR
대한광통신 backtest
10 trend-following strategies were compared on the full daily history of 대한광통신. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.0%, MDD -62.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.7%, drawdown -99.2%).
Sharpe leader (same as main): Supertrend — CAGR 16.1%, MDD -86.6%, Sharpe 0.55, 42% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 12.6%p (CAGR 12.0%, MDD -62.4%, exposure 18%).
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=15, mult=2.6 |
16.1% | -86.6% | 0.55 | 0.19 | 52.6x | 169 | 42% |
| SMA 크로스오버 fast=10, slow=176 |
14.9% | -79.0% | 0.53 | 0.19 | 40.4x | 45 | 37% |
| ROC 모멘텀 n=104, threshold=0.13 |
14.7% | -75.4% | 0.53 | 0.20 | 38.5x | 161 | 29% |
| Donchian 채널 돌파 entryN=112, exitN=53 |
14.4% | -62.7% | 0.53 | 0.23 | 35.5x | 24 | 26% |
| Parabolic SAR step=0.02, maxStep=0.34 |
13.5% | -92.2% | 0.50 | 0.15 | 28.8x | 505 | 45% |
| EMA 크로스오버 fast=13, slow=157 |
12.5% | -69.9% | 0.48 | 0.18 | 23.1x | 55 | 35% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=5, mult=2.7 |
12.0% | -62.4% | 0.48 | 0.19 | 20.4x | 46 | 18% |
| ADX / DI 방향성 period=34, threshold=26 |
11.8% | -70.4% | 0.48 | 0.17 | 19.3x | 40 | 15% |
| 볼린저 밴드 돌파 n=22, k=2.2 |
6.9% | -84.3% | 0.36 | 0.08 | 5.9x | 207 | 24% |
| MACD fast=16, slow=24, signal=6 |
0.9% | -96.5% | 0.26 | 0.01 | 1.3x | 531 | 51% |
| Buy and hold | 3.7% | -99.2% | 0.38 | 0.04 | 2.6x | 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) — 15-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)