Trend-Following Backtester · Guide · backtest 한국어
equity · KR
에스엘 backtest
10 trend-following strategies were compared on the full daily history of 에스엘. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.9%, MDD -63.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.6%, drawdown -82.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.1%, MDD -71.2%, Sharpe 0.57, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 10.8%p (CAGR 13.9%, MDD -63.9%, exposure 45%).
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=64, exitN=49 |
15.1% | -71.2% | 0.57 | 0.21 | 42.0x | 48 | 50% |
| EMA 크로스오버 fast=17, slow=69 |
14.9% | -67.3% | 0.56 | 0.22 | 39.8x | 90 | 53% |
| SMA 크로스오버 fast=28, slow=117 |
14.8% | -71.4% | 0.56 | 0.21 | 39.0x | 60 | 54% |
| ADX / DI 방향성 period=46, threshold=12 |
13.9% | -63.9% | 0.55 | 0.22 | 31.9x | 134 | 45% |
| Supertrend period=8, mult=4.7 |
13.4% | -74.0% | 0.52 | 0.18 | 28.1x | 64 | 59% |
| ROC 모멘텀 n=90, threshold=0.19 |
11.8% | -56.8% | 0.52 | 0.21 | 19.2x | 164 | 30% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=16, mult=1.7 |
11.9% | -69.1% | 0.51 | 0.17 | 19.8x | 120 | 40% |
| Parabolic SAR step=0.005, maxStep=0.12 |
11.2% | -59.6% | 0.48 | 0.19 | 16.9x | 190 | 50% |
| 볼린저 밴드 돌파 n=73, k=2.2 |
9.2% | -64.7% | 0.44 | 0.14 | 10.5x | 70 | 31% |
| MACD fast=18, slow=33, signal=19 |
6.9% | -56.9% | 0.36 | 0.12 | 5.8x | 302 | 52% |
| Buy and hold | 13.6% | -82.0% | 0.51 | 0.17 | 29.8x | 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 64 days
- Sell — Sell when price breaks below the lowest low of the last 49 days