Trend-Following Backtester · Guide · backtest 한국어
equity · KR
코오롱티슈진 backtest
10 trend-following strategies were compared on the full daily history of 코오롱티슈진. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 27.2%, MDD -58.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.8%, drawdown -91.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.2%, MDD -58.8%, Sharpe 0.60, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 40.0%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 27.2%, MDD -58.8%, exposure 79%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=46, exitN=68 |
27.2% | -58.8% | 0.60 | 0.46 | 8.2x | 6 | 79% |
| SMA 크로스오버 fast=56, slow=64 |
16.9% | -68.5% | 0.58 | 0.25 | 3.9x | 38 | 34% |
| Supertrend period=23, mult=3.6 |
13.9% | -66.1% | 0.53 | 0.21 | 3.1x | 24 | 33% |
| ROC 모멘텀 n=133, threshold=-0.09 |
20.9% | -61.0% | 0.52 | 0.34 | 5.2x | 30 | 75% |
| EMA 크로스오버 fast=18, slow=168 |
10.0% | -75.1% | 0.44 | 0.13 | 2.3x | 8 | 36% |
| 볼린저 밴드 돌파 n=73, k=1.4 |
8.0% | -71.0% | 0.39 | 0.11 | 2.0x | 16 | 22% |
| Parabolic SAR step=0.01, maxStep=0.1 |
8.0% | -73.5% | 0.39 | 0.11 | 2.0x | 56 | 29% |
| MACD fast=9, slow=30, signal=9 |
4.6% | -72.1% | 0.30 | 0.06 | 1.5x | 100 | 66% |
| ADX / DI 방향성 period=35, threshold=9 |
2.0% | -81.5% | 0.27 | 0.02 | 1.2x | 32 | 45% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=1.4 |
2.0% | -72.2% | 0.24 | 0.03 | 1.2x | 28 | 25% |
| Buy and hold | -12.8% | -91.6% | 0.15 | -0.14 | 0.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 46 days
- Sell — Sell when price breaks below the lowest low of the last 68 days