Trend-Following Backtester · Guide · backtest 한국어
equity · KR
펄어비스 backtest
10 trend-following strategies were compared on the full daily history of 펄어비스. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.1%, MDD -38.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.0%, drawdown -80.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.1%, MDD -38.4%, Sharpe 0.50, 19% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 10.1%, MDD -38.4%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=28, mult=3.2 |
10.1% | -38.4% | 0.50 | 0.26 | 2.3x | 18 | 19% |
| ADX / DI 방향성 period=25, threshold=19 |
9.5% | -44.6% | 0.44 | 0.21 | 2.2x | 46 | 29% |
| Supertrend period=11, mult=2.6 |
5.3% | -65.1% | 0.33 | 0.08 | 1.6x | 60 | 51% |
| EMA 크로스오버 fast=34, slow=37 |
4.7% | -56.4% | 0.32 | 0.08 | 1.5x | 32 | 47% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
4.1% | -47.0% | 0.30 | 0.09 | 1.4x | 10 | 12% |
| ROC 모멘텀 n=67, threshold=0.07 |
3.3% | -58.9% | 0.27 | 0.06 | 1.3x | 78 | 36% |
| Donchian 채널 돌파 entryN=22, exitN=40 |
1.7% | -68.4% | 0.26 | 0.03 | 1.2x | 34 | 59% |
| SMA 크로스오버 fast=48, slow=164 |
2.4% | -52.5% | 0.26 | 0.05 | 1.2x | 18 | 45% |
| Parabolic SAR step=0.025, maxStep=0.34 |
0.4% | -72.4% | 0.20 | 0.01 | 1.0x | 206 | 52% |
| MACD fast=24, slow=41, signal=23 |
-0.4% | -68.8% | 0.17 | -0.01 | 1.0x | 75 | 54% |
| Buy and hold | 6.0% | -80.9% | 0.38 | 0.07 | 1.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 43-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 43-day average