Trend-Following Backtester · Guide · backtest 한국어
equity · KR
펩트론 backtest
10 trend-following strategies were compared on the full daily history of 펩트론. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.0%, MDD -28.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 22.2%, drawdown -81.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.0%, MDD -28.6%, Sharpe 0.81, 5% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 33.2%, MDD -50.1%, exposure 38%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 53.2%p (CAGR 22.0%, MDD -28.6%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=3.3 |
22.0% | -28.6% | 0.81 | 0.77 | 9.1x | 12 | 5% |
| SMA 크로스오버 fast=27, slow=235 |
33.2% | -50.1% | 0.80 | 0.66 | 24.2x | 8 | 38% |
| EMA 크로스오버 fast=55, slow=137 |
29.3% | -50.1% | 0.74 | 0.59 | 17.4x | 12 | 40% |
| ROC 모멘텀 n=83, threshold=0.13 |
27.3% | -48.1% | 0.73 | 0.57 | 14.5x | 86 | 31% |
| Donchian 채널 돌파 entryN=94, exitN=61 |
24.4% | -65.3% | 0.68 | 0.37 | 11.3x | 10 | 32% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=13, mult=3.5 |
13.7% | -32.6% | 0.58 | 0.42 | 4.2x | 12 | 6% |
| ADX / DI 방향성 period=36, threshold=16 |
16.4% | -51.5% | 0.56 | 0.32 | 5.4x | 40 | 25% |
| MACD fast=10, slow=48, signal=17 |
3.1% | -86.0% | 0.33 | 0.04 | 1.4x | 157 | 49% |
| Parabolic SAR step=0.01, maxStep=0.3 |
2.3% | -84.2% | 0.30 | 0.03 | 1.3x | 139 | 48% |
| Supertrend period=23, mult=2.2 |
-1.8% | -87.7% | 0.22 | -0.02 | 0.8x | 117 | 44% |
| Buy and hold | 22.2% | -81.8% | 0.64 | 0.27 | 9.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 17-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 17-day middle average