Trend-Following Backtester · Guide · backtest 한국어
equity · KR
녹십자 backtest
10 trend-following strategies were compared on the full daily history of 녹십자. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.1%, MDD -45.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.0%, drawdown -81.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.0%, MDD -68.1%, Sharpe 0.52, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 13.2%p (CAGR 11.1%, MDD -45.4%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=160 |
13.0% | -68.1% | 0.52 | 0.19 | 25.5x | 50 | 50% |
| ADX / DI 방향성 period=32, threshold=32 |
7.9% | -36.1% | 0.52 | 0.22 | 7.6x | 12 | 6% |
| 볼린저 밴드 돌파 n=97, k=2.1 |
11.1% | -45.4% | 0.49 | 0.24 | 16.3x | 56 | 34% |
| Donchian 채널 돌파 entryN=95, exitN=47 |
9.3% | -66.6% | 0.43 | 0.14 | 10.5x | 38 | 40% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=25, mult=3.3 |
7.0% | -49.1% | 0.38 | 0.14 | 6.0x | 64 | 27% |
| EMA 크로스오버 fast=16, slow=149 |
7.4% | -69.4% | 0.38 | 0.11 | 6.6x | 78 | 51% |
| Supertrend period=10, mult=5 |
5.7% | -84.6% | 0.34 | 0.07 | 4.3x | 68 | 56% |
| ROC 모멘텀 n=100, threshold=0.09 |
4.8% | -61.6% | 0.31 | 0.08 | 3.5x | 240 | 39% |
| MACD fast=9, slow=28, signal=23 |
-2.8% | -79.8% | 0.11 | -0.04 | 0.5x | 394 | 50% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.0% | -87.6% | 0.06 | -0.05 | 0.3x | 204 | 46% |
| Buy and hold | 11.0% | -81.3% | 0.46 | 0.14 | 16.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 160-day average
- Sell — Sell (to cash) when the 49-day average falls below the 160-day average