Trend-Following Backtester · Guide · backtest 한국어
equity · KR
두산 backtest
10 trend-following strategies were compared on the full daily history of 두산. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.2%, MDD -37.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.9%, drawdown -92.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 16.6%, MDD -75.0%, Sharpe 0.59, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 17.0%p (CAGR 11.2%, MDD -37.2%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.12 |
16.6% | -75.0% | 0.59 | 0.22 | 58.7x | 420 | 49% |
| 볼린저 밴드 돌파 n=35, k=0.8 |
15.5% | -86.2% | 0.57 | 0.18 | 45.8x | 252 | 44% |
| Supertrend period=8, mult=2.9 |
14.1% | -85.5% | 0.53 | 0.16 | 33.3x | 172 | 55% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=27, mult=3.9 |
11.2% | -37.2% | 0.53 | 0.30 | 16.8x | 50 | 18% |
| SMA 크로스오버 fast=40, slow=208 |
12.7% | -85.5% | 0.50 | 0.15 | 24.0x | 41 | 53% |
| Donchian 채널 돌파 entryN=23, exitN=47 |
12.9% | -89.9% | 0.50 | 0.14 | 25.1x | 86 | 67% |
| EMA 크로스오버 fast=50, slow=233 |
11.1% | -89.3% | 0.46 | 0.12 | 16.6x | 39 | 50% |
| MACD fast=14, slow=48, signal=9 |
10.7% | -75.5% | 0.46 | 0.14 | 15.0x | 388 | 51% |
| ROC 모멘텀 n=29, threshold=0.03 |
8.7% | -92.8% | 0.41 | 0.09 | 9.2x | 462 | 46% |
| ADX / DI 방향성 period=8, threshold=19 |
6.9% | -88.2% | 0.36 | 0.08 | 5.9x | 628 | 48% |
| Buy and hold | 14.9% | -92.0% | 0.53 | 0.16 | 39.7x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots