Trend-Following Backtester · Guide · backtest 한국어
equity · KR
대웅 backtest
10 trend-following strategies were compared on the full daily history of 대웅. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.1%, MDD -61.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.5%, drawdown -85.1%).
Sharpe leader (same as main): Supertrend — CAGR 16.2%, MDD -64.0%, Sharpe 0.59, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 21.1%p (CAGR 13.1%, MDD -61.6%, exposure 52%).
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=16, mult=4.8 |
16.2% | -64.0% | 0.59 | 0.25 | 53.8x | 56 | 51% |
| ADX / DI 방향성 period=52, threshold=10 |
14.3% | -83.5% | 0.54 | 0.17 | 34.7x | 124 | 55% |
| SMA 크로스오버 fast=47, slow=268 |
13.1% | -61.6% | 0.52 | 0.21 | 26.6x | 22 | 52% |
| Donchian 채널 돌파 entryN=92, exitN=71 |
12.4% | -74.5% | 0.50 | 0.17 | 22.3x | 32 | 49% |
| EMA 크로스오버 fast=33, slow=193 |
11.6% | -73.6% | 0.48 | 0.16 | 18.7x | 36 | 52% |
| ROC 모멘텀 n=113, threshold=-0.04 |
10.8% | -78.9% | 0.46 | 0.14 | 15.3x | 178 | 59% |
| MACD fast=8, slow=68, signal=38 |
8.4% | -74.3% | 0.40 | 0.11 | 8.5x | 245 | 49% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
8.1% | -65.5% | 0.40 | 0.12 | 7.8x | 108 | 33% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=17, mult=1.4 |
7.8% | -68.9% | 0.39 | 0.11 | 7.3x | 170 | 30% |
| Parabolic SAR step=0.005, maxStep=0.16 |
5.3% | -72.3% | 0.32 | 0.07 | 4.0x | 210 | 48% |
| Buy and hold | 7.5% | -85.1% | 0.39 | 0.09 | 6.8x | 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) — 16-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)