Trend-Following Backtester · Guide · backtest 한국어
equity · KR
에코프로 backtest
10 trend-following strategies were compared on the full daily history of 에코프로. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.0%, MDD -59.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 17.1%, drawdown -86.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 22.0%, MDD -68.5%, Sharpe 0.69, 38% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR 22.0%, MDD -59.4%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=24, mult=1.8 |
22.0% | -68.5% | 0.69 | 0.32 | 43.9x | 86 | 38% |
| 볼린저 밴드 돌파 n=56, k=1.1 |
22.0% | -59.4% | 0.68 | 0.37 | 43.7x | 100 | 41% |
| EMA 크로스오버 fast=36, slow=37 |
21.1% | -71.4% | 0.65 | 0.30 | 38.1x | 74 | 50% |
| Donchian 채널 돌파 entryN=31, exitN=46 |
21.3% | -75.2% | 0.64 | 0.28 | 39.6x | 58 | 58% |
| SMA 크로스오버 fast=21, slow=92 |
20.2% | -71.1% | 0.63 | 0.28 | 33.3x | 52 | 50% |
| Supertrend period=18, mult=4.9 |
19.4% | -68.1% | 0.61 | 0.28 | 29.1x | 52 | 51% |
| MACD fast=10, slow=32, signal=17 |
17.5% | -85.2% | 0.58 | 0.21 | 21.6x | 279 | 53% |
| ROC 모멘텀 n=41, threshold=0.13 |
15.4% | -71.9% | 0.56 | 0.21 | 15.3x | 260 | 31% |
| ADX / DI 방향성 period=27, threshold=20 |
14.7% | -57.5% | 0.56 | 0.25 | 13.5x | 66 | 24% |
| Parabolic SAR step=0.01, maxStep=0.3 |
15.0% | -71.6% | 0.54 | 0.21 | 14.2x | 232 | 50% |
| Buy and hold | 17.1% | -86.2% | 0.57 | 0.20 | 20.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 63-day average + 1.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 63-day average