Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대차 backtest
10 trend-following strategies were compared on the full daily history of 현대차. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.0%, MDD -49.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.6%, drawdown -75.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.0%, MDD -49.0%, Sharpe 0.52, 22% exposure.
CAGR reference leader: Supertrend — CAGR 10.8%, MDD -71.0%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.7%p lower than buy and hold, while drawdown improves by 26.5%p (CAGR 9.0%, MDD -49.0%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=106, exitN=13 |
9.0% | -49.0% | 0.52 | 0.18 | 9.8x | 64 | 22% |
| EMA 크로스오버 fast=44, slow=79 |
10.6% | -70.5% | 0.49 | 0.15 | 14.5x | 64 | 53% |
| Supertrend period=5, mult=4.8 |
10.8% | -71.0% | 0.49 | 0.15 | 15.1x | 86 | 56% |
| SMA 크로스오버 fast=18, slow=96 |
10.5% | -71.4% | 0.49 | 0.15 | 14.3x | 98 | 54% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=22, mult=1.9 |
7.0% | -66.0% | 0.40 | 0.11 | 6.0x | 148 | 34% |
| 볼린저 밴드 돌파 n=42, k=2.5 |
6.5% | -54.4% | 0.39 | 0.12 | 5.3x | 94 | 26% |
| ROC 모멘텀 n=70, threshold=0.09 |
7.1% | -57.7% | 0.39 | 0.12 | 6.1x | 282 | 36% |
| ADX / DI 방향성 period=29, threshold=17 |
6.0% | -44.8% | 0.38 | 0.13 | 4.7x | 108 | 22% |
| MACD fast=17, slow=34, signal=15 |
5.5% | -55.3% | 0.33 | 0.10 | 4.2x | 322 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.5% | -75.6% | 0.13 | -0.01 | 0.9x | 224 | 52% |
| Buy and hold | 11.6% | -75.5% | 0.47 | 0.15 | 18.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 106 days
- Sell — Sell when price breaks below the lowest low of the last 13 days