Trend-Following Backtester · Guide · backtest 한국어
equity · KR
이오테크닉스 backtest
10 trend-following strategies were compared on the full daily history of 이오테크닉스. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.6%, MDD -65.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.2%, drawdown -84.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.2%, MDD -72.2%, Sharpe 0.63, 80% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 11.9%p (CAGR 12.6%, MDD -65.8%, exposure 55%).
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=12, exitN=56 |
21.2% | -72.2% | 0.63 | 0.29 | 147.9x | 77 | 80% |
| EMA 크로스오버 fast=20, slow=21 |
12.6% | -65.8% | 0.49 | 0.19 | 21.9x | 177 | 55% |
| MACD fast=18, slow=39, signal=14 |
11.4% | -77.0% | 0.47 | 0.15 | 16.4x | 301 | 51% |
| SMA 크로스오버 fast=23, slow=97 |
11.3% | -70.6% | 0.46 | 0.16 | 16.3x | 80 | 58% |
| ROC 모멘텀 n=29, threshold=-0.07 |
9.7% | -81.1% | 0.43 | 0.12 | 11.1x | 437 | 70% |
| Supertrend period=22, mult=4.7 |
8.8% | -81.0% | 0.41 | 0.11 | 9.0x | 84 | 58% |
| ADX / DI 방향성 period=34, threshold=5 |
8.5% | -73.2% | 0.40 | 0.12 | 8.4x | 333 | 59% |
| 볼린저 밴드 돌파 n=45, k=0.7 |
8.4% | -59.7% | 0.40 | 0.14 | 8.2x | 228 | 48% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=29, mult=0.9 |
5.3% | -70.3% | 0.32 | 0.07 | 3.8x | 234 | 50% |
| Parabolic SAR step=0.015, maxStep=0.24 |
1.9% | -81.0% | 0.25 | 0.02 | 1.7x | 452 | 52% |
| Buy and hold | 15.2% | -84.1% | 0.53 | 0.18 | 39.6x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 56 days