Trend-Following Backtester · Guide · backtest 한국어
equity · KR
기아 backtest
10 trend-following strategies were compared on the full daily history of 기아. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.4%, MDD -43.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -79.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.4%, MDD -43.7%, Sharpe 0.51, 31% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 10.8%, MDD -61.6%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 35.4%p (CAGR 9.4%, MDD -43.7%, exposure 31%).
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=70, k=2.2 |
9.4% | -43.7% | 0.51 | 0.22 | 11.0x | 68 | 31% |
| SMA 크로스오버 fast=35, slow=154 |
10.8% | -61.6% | 0.49 | 0.18 | 15.3x | 50 | 52% |
| Donchian 채널 돌파 entryN=88, exitN=41 |
9.7% | -55.9% | 0.49 | 0.17 | 11.6x | 48 | 39% |
| ADX / DI 방향성 period=32, threshold=17 |
8.3% | -45.1% | 0.49 | 0.18 | 8.2x | 84 | 23% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=12, mult=3.2 |
8.3% | -49.0% | 0.48 | 0.17 | 8.4x | 72 | 26% |
| ROC 모멘텀 n=85, threshold=0.09 |
8.4% | -61.4% | 0.44 | 0.14 | 8.4x | 220 | 38% |
| EMA 크로스오버 fast=17, slow=213 |
9.0% | -62.4% | 0.44 | 0.14 | 9.8x | 58 | 54% |
| MACD fast=15, slow=62, signal=21 |
6.5% | -52.3% | 0.36 | 0.12 | 5.3x | 266 | 51% |
| Supertrend period=24, mult=4 |
5.9% | -74.5% | 0.34 | 0.08 | 4.5x | 112 | 52% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.4% | -66.6% | 0.13 | -0.01 | 0.9x | 226 | 51% |
| Buy and hold | 11.3% | -79.1% | 0.47 | 0.14 | 17.1x | 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 70-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 70-day middle average