Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대건설 backtest
10 trend-following strategies were compared on the full daily history of 현대건설. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.8%, MDD -23.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.7%, drawdown -98.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.3%, MDD -34.0%, Sharpe 0.46, 6% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 64.3%p (CAGR 2.8%, MDD -23.0%, exposure 3%).
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=41, k=3.5 |
7.3% | -34.0% | 0.46 | 0.22 | 6.6x | 16 | 6% |
| EMA 크로스오버 fast=59, slow=199 |
7.0% | -85.3% | 0.37 | 0.08 | 6.0x | 29 | 41% |
| MACD fast=21, slow=48, signal=17 |
4.7% | -80.3% | 0.31 | 0.06 | 3.4x | 275 | 52% |
| Donchian 채널 돌파 entryN=110, exitN=43 |
4.6% | -86.2% | 0.30 | 0.05 | 3.3x | 42 | 29% |
| ADX / DI 방향성 period=27, threshold=35 |
2.8% | -23.0% | 0.30 | 0.12 | 2.1x | 10 | 3% |
| Parabolic SAR step=0.015, maxStep=0.08 |
3.0% | -74.0% | 0.26 | 0.04 | 2.2x | 377 | 48% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=18, mult=2.5 |
3.3% | -75.7% | 0.26 | 0.04 | 2.4x | 102 | 27% |
| SMA 크로스오버 fast=40, slow=177 |
2.7% | -82.0% | 0.24 | 0.03 | 2.1x | 42 | 45% |
| ROC 모멘텀 n=102, threshold=0.2 |
3.0% | -73.7% | 0.24 | 0.04 | 2.2x | 186 | 23% |
| Supertrend period=8, mult=3 |
-1.7% | -84.3% | 0.14 | -0.02 | 0.6x | 193 | 50% |
| Buy and hold | -3.7% | -98.2% | 0.20 | -0.04 | 0.4x | 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 41-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 41-day middle average