Trend-Following Backtester · Guide · backtest 한국어
equity · KR
효성 backtest
10 trend-following strategies were compared on the full daily history of 효성. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.8%, MDD -52.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.9%, drawdown -73.9%).
Sharpe leader (same as main): MACD — CAGR 12.2%, MDD -78.2%, Sharpe 0.52, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by -4.3%p (CAGR 10.8%, MDD -52.8%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=9, slow=68, signal=18 |
12.2% | -78.2% | 0.52 | 0.16 | 21.1x | 302 | 52% |
| SMA 크로스오버 fast=7, slow=121 |
10.8% | -52.8% | 0.47 | 0.20 | 15.3x | 108 | 53% |
| EMA 크로스오버 fast=22, slow=51 |
10.7% | -64.3% | 0.47 | 0.17 | 15.0x | 112 | 52% |
| 볼린저 밴드 돌파 n=21, k=0.8 |
8.9% | -76.7% | 0.43 | 0.12 | 9.6x | 398 | 45% |
| Supertrend period=30, mult=5 |
8.8% | -59.2% | 0.43 | 0.15 | 9.5x | 80 | 50% |
| Donchian 채널 돌파 entryN=44, exitN=30 |
8.3% | -51.8% | 0.42 | 0.16 | 8.4x | 90 | 43% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=1.6 |
7.5% | -68.3% | 0.39 | 0.11 | 6.8x | 150 | 39% |
| Parabolic SAR step=0.01, maxStep=0.32 |
7.6% | -71.2% | 0.39 | 0.11 | 7.0x | 334 | 50% |
| ROC 모멘텀 n=29, threshold=0.04 |
7.1% | -74.0% | 0.38 | 0.10 | 6.2x | 448 | 42% |
| ADX / DI 방향성 period=42, threshold=27 |
3.8% | -31.5% | 0.34 | 0.12 | 2.7x | 10 | 6% |
| Buy and hold | 10.9% | -73.9% | 0.46 | 0.15 | 15.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (9/68) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line