Trend-Following Backtester · Guide · backtest 한국어
equity · KR
코스메카코리아 backtest
10 trend-following strategies were compared on the full daily history of 코스메카코리아. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.6%, MDD -26.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.9%, drawdown -86.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.1%, MDD -27.4%, Sharpe 0.76, 8% exposure.
CAGR reference leader: Supertrend — CAGR 21.4%, MDD -56.4%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 59.2%p (CAGR 13.6%, MDD -26.6%, exposure 10%).
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=30, k=3.3 |
14.1% | -27.4% | 0.76 | 0.51 | 3.6x | 12 | 8% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=10, mult=3 |
13.6% | -26.6% | 0.73 | 0.51 | 3.5x | 14 | 10% |
| Supertrend period=29, mult=4.3 |
21.4% | -56.4% | 0.68 | 0.38 | 6.6x | 25 | 55% |
| SMA 크로스오버 fast=59, slow=195 |
19.2% | -50.5% | 0.64 | 0.38 | 5.5x | 12 | 50% |
| EMA 크로스오버 fast=22, slow=86 |
14.4% | -62.5% | 0.54 | 0.23 | 3.7x | 35 | 52% |
| Donchian 채널 돌파 entryN=74, exitN=68 |
13.6% | -52.7% | 0.53 | 0.26 | 3.5x | 12 | 46% |
| ADX / DI 방향성 period=39, threshold=31 |
4.8% | -22.2% | 0.53 | 0.22 | 1.6x | 4 | 3% |
| ROC 모멘텀 n=144, threshold=0.13 |
9.2% | -63.6% | 0.43 | 0.15 | 2.4x | 97 | 39% |
| MACD fast=19, slow=35, signal=18 |
6.1% | -69.5% | 0.35 | 0.09 | 1.8x | 115 | 49% |
| Parabolic SAR step=0.035, maxStep=0.22 |
-3.7% | -61.9% | 0.09 | -0.06 | 0.7x | 273 | 49% |
| Buy and hold | 9.9% | -86.6% | 0.45 | 0.11 | 2.5x | 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 30-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 30-day middle average