Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HK이노엔 backtest
10 trend-following strategies were compared on the full daily history of HK이노엔. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -6.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -8.9%, drawdown -59.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 1.4%, MDD -27.2%, Sharpe 0.18, 39% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 32.2%p (CAGR 0.7%, MDD -6.6%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=23, slow=170 |
1.4% | -27.2% | 0.18 | 0.05 | 1.1x | 6 | 39% |
| ADX / DI 방향성 period=26, threshold=28 |
0.7% | -6.6% | 0.16 | 0.10 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=17, slow=217 |
-0.2% | -30.9% | 0.12 | -0.01 | 1.0x | 8 | 39% |
| Donchian 채널 돌파 entryN=105, exitN=68 |
-4.1% | -39.8% | -0.05 | -0.10 | 0.8x | 6 | 36% |
| Supertrend period=23, mult=4.3 |
-7.5% | -45.8% | -0.06 | -0.16 | 0.7x | 16 | 46% |
| ROC 모멘텀 n=128, threshold=0.09 |
-4.8% | -34.3% | -0.15 | -0.14 | 0.8x | 34 | 28% |
| 볼린저 밴드 돌파 n=72, k=3.5 |
-2.4% | -18.8% | -0.15 | -0.13 | 0.9x | 2 | 8% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=11, mult=3.7 |
-3.1% | -18.8% | -0.27 | -0.16 | 0.9x | 2 | 5% |
| MACD fast=10, slow=40, signal=16 |
-14.0% | -59.6% | -0.37 | -0.23 | 0.5x | 67 | 48% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-15.1% | -60.9% | -0.40 | -0.25 | 0.4x | 81 | 45% |
| Buy and hold | -8.9% | -59.4% | 0.02 | -0.15 | 0.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 23-day EMA crosses above the 170-day EMA
- Sell — Sell when the 23-day EMA falls below the 170-day EMA