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; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 14.2%, MDD -53.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.3%, drawdown -88.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 20.2%, MDD -60.7%, Sharpe 0.65, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 14.2%, MDD -53.1%, 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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.02, maxStep=0.32 |
20.2% | -60.7% | 0.65 | 0.33 | 46.7x | 405 | 48% |
| EMA 크로스오버 fast=77, slow=194 |
19.8% | -60.9% | 0.64 | 0.32 | 43.4x | 16 | 55% |
| ROC 모멘텀 n=145, threshold=-0.03 |
20.1% | -59.6% | 0.63 | 0.34 | 45.8x | 134 | 57% |
| SMA 크로스오버 fast=59, slow=168 |
18.9% | -75.6% | 0.61 | 0.25 | 37.5x | 30 | 55% |
| Supertrend period=15, mult=3.1 |
15.7% | -67.8% | 0.56 | 0.23 | 21.2x | 125 | 44% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=23, mult=1.2 |
14.2% | -53.1% | 0.56 | 0.27 | 15.9x | 214 | 24% |
| 볼린저 밴드 돌파 n=14, k=0.9 |
13.4% | -73.3% | 0.51 | 0.18 | 13.9x | 381 | 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 |
6.2% | -79.1% | 0.35 | 0.08 | 3.5x | 343 | 50% |
| Buy and hold | 11.3% | -88.2% | 0.48 | 0.13 | 9.5x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots