Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대무벡스 backtest
10 trend-following strategies were compared on the full daily history of 현대무벡스. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 37.8%, MDD -49.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 39.7%, drawdown -62.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 46.2%, MDD -60.0%, Sharpe 0.93, 49% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 2.3%p (CAGR 37.8%, MDD -49.7%, exposure 44%).
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=56, slow=162 |
46.2% | -60.0% | 0.93 | 0.77 | 16.1x | 8 | 49% |
| Donchian 채널 돌파 entryN=73, exitN=75 |
43.7% | -50.8% | 0.92 | 0.86 | 14.2x | 6 | 36% |
| ROC 모멘텀 n=100, threshold=0.02 |
37.8% | -49.7% | 0.88 | 0.76 | 10.4x | 54 | 44% |
| MACD fast=17, slow=34, signal=19 |
33.1% | -69.1% | 0.88 | 0.48 | 8.1x | 71 | 47% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=23, mult=2.6 |
24.1% | -42.7% | 0.80 | 0.56 | 4.9x | 20 | 13% |
| EMA 크로스오버 fast=38, slow=98 |
30.7% | -53.2% | 0.78 | 0.58 | 7.1x | 16 | 47% |
| Supertrend period=4, mult=4.9 |
31.0% | -61.5% | 0.74 | 0.50 | 7.2x | 17 | 68% |
| 볼린저 밴드 돌파 n=18, k=2.1 |
22.6% | -58.6% | 0.73 | 0.39 | 4.4x | 58 | 23% |
| ADX / DI 방향성 period=35, threshold=14 |
26.9% | -62.7% | 0.71 | 0.43 | 5.7x | 38 | 61% |
| Parabolic SAR step=0.02, maxStep=0.12 |
18.8% | -66.5% | 0.61 | 0.28 | 3.5x | 122 | 50% |
| Buy and hold | 39.7% | -62.3% | 0.83 | 0.64 | 11.5x | 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 56-day average price crosses above the 162-day average
- Sell — Sell (to cash) when the 56-day average falls below the 162-day average