Trend-Following Backtester · Guide · backtest 한국어
equity · KR
안랩 backtest
10 trend-following strategies were compared on the full daily history of 안랩. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.9%, MDD -55.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.5%, drawdown -92.7%).
Sharpe leader (same as main): Supertrend — CAGR 11.4%, MDD -61.6%, Sharpe 0.46, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 4.9%, MDD -55.5%, exposure 7%).
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=17, mult=4.1 |
11.4% | -61.6% | 0.46 | 0.18 | 14.8x | 89 | 44% |
| Donchian 채널 돌파 entryN=11, exitN=15 |
10.8% | -69.7% | 0.45 | 0.15 | 13.0x | 173 | 49% |
| SMA 크로스오버 fast=6, slow=34 |
10.0% | -66.6% | 0.43 | 0.15 | 10.9x | 223 | 47% |
| EMA 크로스오버 fast=16, slow=31 |
9.4% | -64.3% | 0.42 | 0.15 | 9.4x | 131 | 48% |
| 볼린저 밴드 돌파 n=56, k=1.5 |
7.8% | -79.4% | 0.39 | 0.10 | 6.6x | 115 | 36% |
| Parabolic SAR step=0.005, maxStep=0.3 |
7.3% | -75.0% | 0.37 | 0.10 | 5.9x | 181 | 46% |
| ROC 모멘텀 n=37, threshold=-0.01 |
5.8% | -73.6% | 0.34 | 0.08 | 4.1x | 373 | 51% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=9, mult=0.8 |
5.3% | -78.5% | 0.33 | 0.07 | 3.6x | 261 | 38% |
| ADX / DI 방향성 period=38, threshold=28 |
4.9% | -55.5% | 0.32 | 0.09 | 3.3x | 18 | 7% |
| MACD fast=6, slow=59, signal=15 |
3.6% | -86.1% | 0.29 | 0.04 | 2.4x | 431 | 53% |
| Buy and hold | 1.5% | -92.7% | 0.30 | 0.02 | 1.5x | 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) — 17-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)