Trend-Following Backtester · Guide · backtest 한국어
equity · KR
포스코퓨처엠 backtest
10 trend-following strategies were compared on the full daily history of 포스코퓨처엠. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.2%, MDD -45.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 21.8%, drawdown -83.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.2%, MDD -45.5%, Sharpe 0.82, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 24.2%, MDD -45.5%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=6, slow=150 |
24.2% | -45.5% | 0.82 | 0.53 | 213.5x | 70 | 57% |
| EMA 크로스오버 fast=10, slow=41 |
23.4% | -58.7% | 0.81 | 0.40 | 182.7x | 150 | 57% |
| Parabolic SAR step=0.01, maxStep=0.14 |
21.3% | -54.7% | 0.77 | 0.39 | 117.6x | 296 | 53% |
| Supertrend period=20, mult=4.6 |
20.9% | -67.4% | 0.75 | 0.31 | 108.5x | 68 | 58% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=22, mult=2.7 |
17.9% | -49.2% | 0.73 | 0.36 | 59.4x | 74 | 33% |
| ROC 모멘텀 n=122, threshold=0.09 |
18.4% | -63.7% | 0.70 | 0.29 | 65.7x | 188 | 46% |
| Donchian 채널 돌파 entryN=43, exitN=75 |
19.2% | -58.8% | 0.68 | 0.33 | 77.1x | 44 | 68% |
| 볼린저 밴드 돌파 n=49, k=1.8 |
16.0% | -55.5% | 0.66 | 0.29 | 39.2x | 118 | 40% |
| MACD fast=15, slow=72, signal=14 |
15.5% | -56.7% | 0.62 | 0.27 | 35.5x | 298 | 51% |
| ADX / DI 방향성 period=36, threshold=21 |
12.1% | -55.6% | 0.61 | 0.22 | 16.8x | 54 | 23% |
| Buy and hold | 21.8% | -83.3% | 0.67 | 0.26 | 131.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 6-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 6-day average falls below the 150-day average