Trend-Following Backtester · Guide · backtest 한국어
equity · KR
롯데칠성 backtest
10 trend-following strategies were compared on the full daily history of 롯데칠성. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 8.1%, MDD -44.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -70.6%).
Sharpe leader (same as main): MACD — CAGR 8.1%, MDD -44.7%, Sharpe 0.43, 49% exposure.
Return/drawdown alternative: MACD — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 25.8%p (CAGR 8.1%, MDD -44.7%, exposure 49%).
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=31, slow=51, signal=30 |
8.1% | -44.7% | 0.43 | 0.18 | 8.0x | 167 | 49% |
| Donchian 채널 돌파 entryN=64, exitN=36 |
8.1% | -69.4% | 0.43 | 0.12 | 8.0x | 62 | 44% |
| Parabolic SAR step=0.01, maxStep=0.08 |
8.0% | -46.5% | 0.42 | 0.17 | 7.8x | 306 | 48% |
| EMA 크로스오버 fast=28, slow=38 |
7.3% | -61.6% | 0.39 | 0.12 | 6.5x | 116 | 51% |
| SMA 크로스오버 fast=30, slow=80 |
6.9% | -62.9% | 0.38 | 0.11 | 5.9x | 96 | 52% |
| 볼린저 밴드 돌파 n=29, k=3.2 |
4.2% | -36.5% | 0.33 | 0.11 | 3.0x | 50 | 11% |
| Supertrend period=13, mult=2.6 |
5.4% | -47.1% | 0.33 | 0.12 | 4.1x | 212 | 49% |
| ROC 모멘텀 n=80, threshold=-0.04 |
4.7% | -77.3% | 0.30 | 0.06 | 3.4x | 284 | 63% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=2.9 |
4.1% | -69.6% | 0.29 | 0.06 | 2.9x | 88 | 26% |
| ADX / DI 방향성 period=24, threshold=34 |
2.1% | -31.6% | 0.24 | 0.07 | 1.7x | 24 | 6% |
| Buy and hold | 10.5% | -70.6% | 0.46 | 0.15 | 14.4x | 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 (31/51) crosses above its 30-day signal line
- Sell — Sell when the MACD line crosses back below the signal line