Trend-Following Backtester · Guide · backtest 한국어
equity · KR
코리안리 backtest
10 trend-following strategies were compared on the full daily history of 코리안리. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.7%, drawdown -63.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.0%, MDD -59.2%, Sharpe 0.24, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=46, slow=175 |
3.0% | -59.2% | 0.24 | 0.05 | 1.8x | 29 | 56% |
| SMA 크로스오버 fast=66, slow=161 |
1.5% | -67.0% | 0.19 | 0.02 | 1.4x | 33 | 57% |
| Donchian 채널 돌파 entryN=13, exitN=70 |
0.8% | -71.8% | 0.17 | 0.01 | 1.2x | 65 | 82% |
| ROC 모멘텀 n=127, threshold=-0.12 |
-0.7% | -82.4% | 0.12 | -0.01 | 0.9x | 127 | 82% |
| Parabolic SAR step=0.005, maxStep=0.24 |
0.1% | -53.7% | 0.12 | 0.00 | 1.0x | 148 | 49% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=16, mult=4 |
0.1% | -18.0% | 0.05 | 0.01 | 1.0x | 8 | 2% |
| Supertrend period=21, mult=4.6 |
-2.4% | -77.4% | 0.03 | -0.03 | 0.6x | 65 | 60% |
| ADX / DI 방향성 period=35, threshold=30 |
-0.1% | -15.4% | 0.01 | -0.00 | 1.0x | 6 | 2% |
| MACD fast=24, slow=60, signal=18 |
-2.8% | -72.9% | -0.02 | -0.04 | 0.5x | 182 | 48% |
| 볼린저 밴드 돌파 n=27, k=2.9 |
-1.1% | -43.6% | -0.03 | -0.02 | 0.8x | 58 | 13% |
| Buy and hold | 4.7% | -63.5% | 0.31 | 0.07 | 2.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 46-day EMA crosses above the 175-day EMA
- Sell — Sell when the 46-day EMA falls below the 175-day EMA