Trend-Following Backtester · Guide · backtest 한국어
equity · KR
리노공업 backtest
10 trend-following strategies were compared on the full daily history of 리노공업. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.9%, MDD -45.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.8%, drawdown -78.3%).
Sharpe leader (same as main): Supertrend — CAGR 17.9%, MDD -45.3%, Sharpe 0.66, 69% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 33.0%p (CAGR 17.9%, MDD -45.3%, exposure 69%).
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=13, mult=4.5 |
17.9% | -45.3% | 0.66 | 0.40 | 57.6x | 56 | 69% |
| Donchian 채널 돌파 entryN=25, exitN=72 |
17.8% | -62.7% | 0.64 | 0.28 | 56.4x | 44 | 80% |
| EMA 크로스오버 fast=14, slow=274 |
15.7% | -48.6% | 0.61 | 0.32 | 36.5x | 42 | 74% |
| ROC 모멘텀 n=84, threshold=-0.08 |
16.1% | -52.4% | 0.61 | 0.31 | 39.4x | 176 | 78% |
| MACD fast=21, slow=29, signal=18 |
13.9% | -64.8% | 0.60 | 0.21 | 24.5x | 258 | 49% |
| SMA 크로스오버 fast=62, slow=197 |
14.5% | -57.6% | 0.58 | 0.25 | 27.7x | 33 | 69% |
| 볼린저 밴드 돌파 n=28, k=1.6 |
10.6% | -49.5% | 0.51 | 0.21 | 12.0x | 208 | 39% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=18, mult=1.6 |
9.5% | -43.3% | 0.49 | 0.22 | 9.4x | 176 | 32% |
| ADX / DI 방향성 period=22, threshold=6 |
10.9% | -62.3% | 0.49 | 0.18 | 12.9x | 356 | 60% |
| Parabolic SAR step=0.015, maxStep=0.1 |
8.8% | -53.4% | 0.43 | 0.16 | 8.0x | 390 | 52% |
| Buy and hold | 18.8% | -78.3% | 0.62 | 0.24 | 68.8x | 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) — 13-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)