Trend-Following Backtester · Guide · backtest 한국어
equity · KR
대원전선 backtest
10 trend-following strategies were compared on the full daily history of 대원전선. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.5%, MDD -62.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.5%, drawdown -92.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.1%, MDD -67.1%, Sharpe 0.56, 14% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 25.2%p (CAGR 10.5%, MDD -62.2%, exposure 23%).
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=108, exitN=17 |
15.1% | -67.1% | 0.56 | 0.22 | 41.5x | 44 | 14% |
| ADX / DI 방향성 period=49, threshold=22 |
14.1% | -70.8% | 0.52 | 0.20 | 32.9x | 27 | 23% |
| Supertrend period=30, mult=4 |
13.2% | -72.9% | 0.49 | 0.18 | 27.3x | 102 | 36% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
12.3% | -79.0% | 0.47 | 0.16 | 21.8x | 86 | 28% |
| SMA 크로스오버 fast=36, slow=316 |
12.1% | -67.5% | 0.47 | 0.18 | 20.6x | 31 | 42% |
| EMA 크로스오버 fast=52, slow=210 |
10.7% | -68.6% | 0.45 | 0.16 | 15.1x | 31 | 42% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=27, mult=2.9 |
10.5% | -62.2% | 0.44 | 0.17 | 14.2x | 70 | 23% |
| MACD fast=26, slow=54, signal=17 |
8.0% | -80.0% | 0.40 | 0.10 | 7.7x | 250 | 51% |
| ROC 모멘텀 n=148, threshold=-0.03 |
4.3% | -83.0% | 0.33 | 0.05 | 3.1x | 213 | 49% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.5% | -81.3% | 0.31 | 0.04 | 2.5x | 408 | 46% |
| Buy and hold | 8.5% | -92.3% | 0.45 | 0.09 | 8.8x | 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 108 days
- Sell — Sell when price breaks below the lowest low of the last 17 days