Trend-Following Backtester · Guide · backtest 한국어
equity · KR
우리기술 backtest
10 trend-following strategies were compared on the full daily history of 우리기술. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 19.0%, MDD -40.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.3%, drawdown -99.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.0%, MDD -40.7%, Sharpe 0.76, 3% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 29.3%p higher than buy and hold, while drawdown improves by 59.2%p (CAGR 19.0%, MDD -40.7%, exposure 3%).
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=3, threshold=0.18 |
19.0% | -40.7% | 0.76 | 0.47 | 94.4x | 188 | 3% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=29, mult=2.9 |
16.0% | -61.0% | 0.61 | 0.26 | 48.6x | 66 | 6% |
| Parabolic SAR step=0.01, maxStep=0.1 |
17.8% | -83.0% | 0.57 | 0.21 | 72.8x | 283 | 42% |
| Donchian 채널 돌파 entryN=117, exitN=3 |
11.3% | -73.2% | 0.52 | 0.15 | 16.5x | 56 | 4% |
| 볼린저 밴드 돌파 n=28, k=1.5 |
13.7% | -87.0% | 0.50 | 0.16 | 28.7x | 217 | 27% |
| MACD fast=11, slow=23, signal=18 |
9.6% | -88.5% | 0.44 | 0.11 | 11.1x | 387 | 51% |
| Supertrend period=25, mult=1.7 |
10.0% | -90.5% | 0.44 | 0.11 | 12.2x | 347 | 35% |
| ADX / DI 방향성 period=21, threshold=34 |
9.0% | -71.6% | 0.41 | 0.13 | 9.6x | 44 | 11% |
| SMA 크로스오버 fast=8, slow=41 |
4.3% | -93.8% | 0.34 | 0.05 | 3.0x | 201 | 39% |
| EMA 크로스오버 fast=18, slow=219 |
2.5% | -87.9% | 0.29 | 0.03 | 1.9x | 52 | 33% |
| Buy and hold | -10.3% | -99.9% | 0.22 | -0.10 | 0.1x | 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 3-day return is greater than 18%
- Sell — Sell when the 3-day return drops to 18% or below