Trend-Following Backtester · Guide · backtest 한국어
equity · KR
신영증권 backtest
10 trend-following strategies were compared on the full daily history of 신영증권. 4 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 9.6%, MDD -42.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.1%, drawdown -73.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -42.7%, Sharpe 0.50, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 9.6%, MDD -42.7%, exposure 54%).
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=36, exitN=32 |
9.6% | -42.7% | 0.50 | 0.22 | 11.5x | 76 | 54% |
| SMA 크로스오버 fast=44, slow=84 |
9.5% | -52.0% | 0.50 | 0.18 | 11.2x | 76 | 56% |
| Supertrend period=8, mult=4.3 |
9.0% | -49.7% | 0.48 | 0.18 | 10.0x | 68 | 55% |
| ADX / DI 방향성 period=38, threshold=15 |
7.8% | -40.2% | 0.46 | 0.19 | 7.4x | 126 | 34% |
| ROC 모멘텀 n=91, threshold=-0.15 |
9.2% | -59.7% | 0.46 | 0.15 | 10.4x | 108 | 88% |
| 볼린저 밴드 돌파 n=36, k=3.5 |
4.8% | -25.8% | 0.46 | 0.19 | 3.5x | 38 | 11% |
| EMA 크로스오버 fast=17, slow=145 |
7.6% | -49.7% | 0.43 | 0.15 | 7.1x | 64 | 57% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=22, mult=1.5 |
6.2% | -43.4% | 0.40 | 0.14 | 5.0x | 134 | 37% |
| MACD fast=11, slow=50, signal=23 |
5.3% | -48.6% | 0.34 | 0.11 | 4.0x | 281 | 50% |
| Parabolic SAR step=0.02, maxStep=0.12 |
3.0% | -71.1% | 0.24 | 0.04 | 2.2x | 484 | 52% |
| Buy and hold | 8.1% | -73.3% | 0.40 | 0.11 | 7.9x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 32 days