Trend-Following Backtester · Guide · backtest 한국어
equity · KR
테크윙 backtest
10 trend-following strategies were compared on the full daily history of 테크윙. 5 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 25.0%, MDD -41.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 18.0%, drawdown -62.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 25.0%, MDD -41.9%, Sharpe 0.90, 30% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 20.2%p (CAGR 25.0%, MDD -41.9%, exposure 30%).
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=2 |
25.0% | -41.9% | 0.90 | 0.60 | 27.2x | 124 | 30% |
| Supertrend period=8, mult=2 |
24.7% | -44.2% | 0.78 | 0.56 | 26.2x | 145 | 52% |
| MACD fast=18, slow=26, signal=21 |
23.4% | -70.0% | 0.76 | 0.33 | 22.5x | 149 | 50% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=11, mult=3.6 |
9.2% | -14.1% | 0.70 | 0.65 | 3.7x | 8 | 4% |
| Parabolic SAR step=0.02, maxStep=0.08 |
20.7% | -53.5% | 0.70 | 0.39 | 16.1x | 239 | 51% |
| EMA 크로스오버 fast=11, slow=18 |
18.9% | -54.7% | 0.66 | 0.35 | 13.1x | 135 | 50% |
| ADX / DI 방향성 period=29, threshold=34 |
9.9% | -28.4% | 0.65 | 0.35 | 4.1x | 4 | 4% |
| Donchian 채널 돌파 entryN=54, exitN=29 |
14.8% | -53.1% | 0.58 | 0.28 | 7.8x | 40 | 45% |
| SMA 크로스오버 fast=19, slow=28 |
12.2% | -63.8% | 0.50 | 0.19 | 5.5x | 141 | 50% |
| ROC 모멘텀 n=18, threshold=0.02 |
10.8% | -68.9% | 0.47 | 0.16 | 4.6x | 303 | 44% |
| Buy and hold | 18.0% | -62.1% | 0.58 | 0.29 | 11.6x | 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 (2× volatility)
- Sell — Sell when the close falls back to the 17-day middle average