Trend-Following Backtester · Guide · backtest 한국어
equity · KR
메지온 backtest
10 trend-following strategies were compared on the full daily history of 메지온. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.5%, MDD -62.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 13.0%, drawdown -85.0%).
Sharpe leader (same as main): Supertrend — CAGR 21.6%, MDD -66.5%, Sharpe 0.66, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 17.5%, MDD -62.0%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=4.6 |
21.6% | -66.5% | 0.66 | 0.33 | 17.2x | 36 | 60% |
| SMA 크로스오버 fast=35, slow=110 |
17.9% | -66.1% | 0.60 | 0.27 | 11.0x | 32 | 54% |
| Donchian 채널 돌파 entryN=57, exitN=58 |
17.5% | -62.0% | 0.58 | 0.28 | 10.4x | 24 | 58% |
| EMA 크로스오버 fast=38, slow=71 |
15.8% | -63.9% | 0.56 | 0.25 | 8.5x | 32 | 53% |
| ROC 모멘텀 n=71, threshold=0 |
15.6% | -71.9% | 0.55 | 0.22 | 8.2x | 186 | 53% |
| MACD fast=9, slow=42, signal=18 |
9.3% | -59.2% | 0.43 | 0.16 | 3.6x | 207 | 50% |
| ADX / DI 방향성 period=35, threshold=17 |
9.0% | -73.9% | 0.42 | 0.12 | 3.5x | 50 | 31% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=19, mult=3.1 |
8.4% | -73.1% | 0.41 | 0.11 | 3.2x | 48 | 25% |
| 볼린저 밴드 돌파 n=55, k=1.5 |
6.7% | -76.8% | 0.36 | 0.09 | 2.6x | 90 | 38% |
| Parabolic SAR step=0.015, maxStep=0.28 |
4.7% | -60.7% | 0.32 | 0.08 | 1.9x | 231 | 45% |
| Buy and hold | 13.0% | -85.0% | 0.51 | 0.15 | 5.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)