Trend-Following Backtester · Guide · backtest 한국어
equity · KR
가온전선 backtest
10 trend-following strategies were compared on the full daily history of 가온전선. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.8%, MDD -49.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.8%, drawdown -83.1%).
Sharpe leader (same as main): Supertrend — CAGR 21.1%, MDD -59.6%, Sharpe 0.72, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 15.8%, MDD -49.5%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=4.1 |
21.1% | -59.6% | 0.72 | 0.35 | 54.6x | 66 | 47% |
| Parabolic SAR step=0.01, maxStep=0.24 |
20.0% | -59.4% | 0.68 | 0.34 | 45.4x | 243 | 52% |
| SMA 크로스오버 fast=28, slow=70 |
18.3% | -65.7% | 0.61 | 0.28 | 33.7x | 72 | 51% |
| Donchian 채널 돌파 entryN=43, exitN=19 |
15.8% | -49.5% | 0.61 | 0.32 | 21.6x | 68 | 38% |
| ROC 모멘텀 n=45, threshold=0.06 |
15.7% | -62.0% | 0.57 | 0.25 | 21.1x | 231 | 34% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=18, mult=1.5 |
13.4% | -58.1% | 0.56 | 0.23 | 13.8x | 137 | 27% |
| EMA 크로스오버 fast=30, slow=40 |
15.0% | -65.7% | 0.55 | 0.23 | 18.8x | 78 | 50% |
| 볼린저 밴드 돌파 n=45, k=1.6 |
13.6% | -71.2% | 0.54 | 0.19 | 14.3x | 110 | 35% |
| MACD fast=17, slow=50, signal=17 |
13.5% | -62.6% | 0.54 | 0.22 | 14.2x | 191 | 53% |
| ADX / DI 방향성 period=19, threshold=11 |
14.0% | -62.9% | 0.53 | 0.22 | 15.5x | 292 | 55% |
| Buy and hold | 16.8% | -83.1% | 0.56 | 0.20 | 25.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 29-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)