Trend-Following Backtester · Guide · backtest 한국어
equity · KR
유진테크 backtest
10 trend-following strategies were compared on the full daily history of 유진테크. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 23.1%, MDD -47.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 23.8%, drawdown -80.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 33.2%, MDD -57.1%, Sharpe 0.90, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 23.1%, MDD -47.4%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=38, slow=75 |
33.2% | -57.1% | 0.90 | 0.58 | 211.9x | 52 | 56% |
| EMA 크로스오버 fast=34, slow=83 |
27.2% | -57.1% | 0.78 | 0.48 | 88.9x | 38 | 57% |
| Supertrend period=28, mult=4.2 |
25.7% | -59.0% | 0.78 | 0.43 | 71.2x | 60 | 56% |
| 볼린저 밴드 돌파 n=60, k=0.8 |
22.8% | -51.2% | 0.74 | 0.45 | 46.2x | 114 | 49% |
| Donchian 채널 돌파 entryN=39, exitN=40 |
23.1% | -47.4% | 0.72 | 0.49 | 48.8x | 44 | 56% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=21, mult=1.8 |
20.4% | -49.4% | 0.69 | 0.41 | 32.1x | 80 | 46% |
| ROC 모멘텀 n=48, threshold=-0.02 |
20.9% | -54.8% | 0.67 | 0.38 | 34.4x | 236 | 60% |
| ADX / DI 방향성 period=37, threshold=12 |
17.3% | -70.2% | 0.61 | 0.25 | 19.8x | 120 | 46% |
| Parabolic SAR step=0.005, maxStep=0.1 |
10.4% | -84.3% | 0.45 | 0.12 | 6.4x | 163 | 53% |
| MACD fast=15, slow=25, signal=11 |
3.7% | -80.4% | 0.29 | 0.05 | 2.0x | 301 | 52% |
| Buy and hold | 23.8% | -80.7% | 0.67 | 0.30 | 54.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 38-day average price crosses above the 75-day average
- Sell — Sell (to cash) when the 38-day average falls below the 75-day average