Trend-Following Backtester · Guide · backtest 한국어
equity · KR
코스모신소재 backtest
10 trend-following strategies were compared on the full daily history of 코스모신소재. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.5%, MDD -50.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.1%, drawdown -88.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 20.4%, MDD -59.6%, Sharpe 0.64, 57% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 14.5%, MDD -50.4%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=145, threshold=-0.03 |
20.4% | -59.6% | 0.64 | 0.34 | 48.1x | 132 | 57% |
| EMA 크로스오버 fast=77, slow=194 |
19.8% | -60.9% | 0.64 | 0.33 | 43.4x | 16 | 55% |
| Parabolic SAR step=0.02, maxStep=0.32 |
19.5% | -60.7% | 0.63 | 0.32 | 40.8x | 404 | 48% |
| SMA 크로스오버 fast=59, slow=168 |
19.0% | -75.6% | 0.61 | 0.25 | 37.5x | 30 | 55% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=23, mult=1.2 |
14.5% | -50.4% | 0.57 | 0.29 | 16.9x | 212 | 24% |
| Supertrend period=15, mult=3.1 |
15.5% | -67.8% | 0.56 | 0.23 | 20.1x | 124 | 44% |
| 볼린저 밴드 돌파 n=14, k=0.9 |
13.7% | -73.3% | 0.52 | 0.19 | 14.5x | 378 | 39% |
| Donchian 채널 돌파 entryN=56, exitN=80 |
13.5% | -77.0% | 0.51 | 0.18 | 14.1x | 30 | 62% |
| ADX / DI 방향성 period=13, threshold=25 |
8.7% | -80.9% | 0.41 | 0.11 | 5.7x | 190 | 31% |
| MACD fast=10, slow=35, signal=12 |
5.3% | -79.1% | 0.33 | 0.07 | 2.9x | 342 | 50% |
| Buy and hold | 10.1% | -88.2% | 0.46 | 0.11 | 7.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 145-day return is greater than -3%
- Sell — Sell when the 145-day return drops to -3% or below