Trend-Following Backtester · Guide · backtest 한국어
equity · KR
대주전자재료 backtest
10 trend-following strategies were compared on the full daily history of 대주전자재료. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 14.3%, MDD -60.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.1%, drawdown -82.7%).
Sharpe leader (same as main): Supertrend — CAGR 20.4%, MDD -73.6%, Sharpe 0.64, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 9.1%p (CAGR 14.3%, MDD -60.7%, exposure 41%).
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=9, mult=2.5 |
20.4% | -73.6% | 0.64 | 0.28 | 55.1x | 158 | 49% |
| Donchian 채널 돌파 entryN=12, exitN=66 |
20.1% | -75.9% | 0.61 | 0.26 | 52.4x | 62 | 78% |
| 볼린저 밴드 돌파 n=30, k=0.8 |
14.3% | -60.7% | 0.53 | 0.24 | 18.1x | 228 | 41% |
| ADX / DI 방향성 period=21, threshold=8 |
11.5% | -81.8% | 0.46 | 0.14 | 10.5x | 324 | 60% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=0.6 |
11.4% | -71.0% | 0.46 | 0.16 | 10.3x | 254 | 44% |
| Parabolic SAR step=0.02, maxStep=0.28 |
8.6% | -69.9% | 0.40 | 0.12 | 5.9x | 436 | 49% |
| EMA 크로스오버 fast=12, slow=181 |
8.2% | -78.7% | 0.40 | 0.10 | 5.5x | 68 | 49% |
| ROC 모멘텀 n=95, threshold=0.01 |
6.9% | -81.4% | 0.38 | 0.09 | 4.3x | 238 | 51% |
| SMA 크로스오버 fast=7, slow=190 |
5.5% | -74.6% | 0.34 | 0.07 | 3.2x | 82 | 50% |
| MACD fast=9, slow=18, signal=11 |
5.2% | -84.8% | 0.33 | 0.06 | 3.0x | 465 | 50% |
| Buy and hold | 15.1% | -82.7% | 0.54 | 0.18 | 20.8x | 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) — 9-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)