Trend-Following Backtester · Guide · backtest 한국어
equity · KR
오뚜기 backtest
10 trend-following strategies were compared on the full daily history of 오뚜기. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.3%, MDD -59.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.5%, drawdown -79.3%).
Sharpe leader (same as main): Supertrend — CAGR 13.5%, MDD -67.7%, Sharpe 0.59, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 11.6%p (CAGR 12.3%, MDD -59.6%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=4.6 |
13.5% | -67.7% | 0.59 | 0.20 | 29.1x | 69 | 53% |
| Donchian 채널 돌파 entryN=28, exitN=27 |
12.3% | -59.6% | 0.55 | 0.21 | 21.8x | 87 | 51% |
| SMA 크로스오버 fast=24, slow=118 |
8.8% | -67.7% | 0.45 | 0.13 | 9.4x | 66 | 52% |
| EMA 크로스오버 fast=27, slow=127 |
8.8% | -76.5% | 0.44 | 0.12 | 9.5x | 64 | 52% |
| 볼린저 밴드 돌파 n=51, k=1.5 |
7.7% | -63.9% | 0.43 | 0.12 | 7.3x | 139 | 37% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=7, mult=3.8 |
5.0% | -42.1% | 0.38 | 0.12 | 3.7x | 32 | 12% |
| Parabolic SAR step=0.005, maxStep=0.22 |
5.9% | -77.4% | 0.35 | 0.08 | 4.6x | 201 | 50% |
| ADX / DI 방향성 period=17, threshold=36 |
4.0% | -36.9% | 0.34 | 0.11 | 2.9x | 52 | 9% |
| ROC 모멘텀 n=135, threshold=0.11 |
3.4% | -75.8% | 0.26 | 0.05 | 2.5x | 192 | 34% |
| MACD fast=18, slow=57, signal=18 |
0.8% | -85.8% | 0.16 | 0.01 | 1.2x | 289 | 50% |
| Buy and hold | 12.5% | -79.3% | 0.51 | 0.16 | 22.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)