Trend-Following Backtester · Guide · backtest 한국어
equity · KR
고영 backtest
10 trend-following strategies were compared on the full daily history of 고영. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.7%, drawdown -74.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -60.9%, Sharpe 0.58, 61% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=36, slow=155 |
16.3% | -60.9% | 0.58 | 0.27 | 15.7x | 30 | 61% |
| Donchian 채널 돌파 entryN=94, exitN=61 |
14.9% | -53.3% | 0.56 | 0.28 | 12.5x | 24 | 57% |
| EMA 크로스오버 fast=48, slow=101 |
13.9% | -74.9% | 0.53 | 0.19 | 10.8x | 26 | 64% |
| ROC 모멘텀 n=165, threshold=-0.06 |
13.6% | -77.5% | 0.52 | 0.17 | 10.2x | 113 | 70% |
| Supertrend period=13, mult=5 |
12.9% | -67.0% | 0.50 | 0.19 | 9.1x | 38 | 65% |
| 볼린저 밴드 돌파 n=44, k=1.1 |
9.8% | -59.2% | 0.44 | 0.17 | 5.5x | 126 | 46% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=2.9 |
8.4% | -54.2% | 0.43 | 0.15 | 4.3x | 52 | 33% |
| ADX / DI 방향성 period=39, threshold=18 |
5.8% | -62.5% | 0.34 | 0.09 | 2.8x | 36 | 27% |
| MACD fast=17, slow=45, signal=18 |
5.2% | -69.4% | 0.32 | 0.07 | 2.5x | 197 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.6% | -73.6% | 0.19 | 0.01 | 1.1x | 153 | 52% |
| Buy and hold | 20.7% | -74.2% | 0.63 | 0.28 | 30.9x | 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 36-day average price crosses above the 155-day average
- Sell — Sell (to cash) when the 36-day average falls below the 155-day average