Trend-Following Backtester · Guide · backtest 한국어
equity · KR
DN오토모티브 backtest
10 trend-following strategies were compared on the full daily history of DN오토모티브. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.9%, drawdown -68.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -57.8%, Sharpe 0.43, 63% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=82, exitN=70 |
8.5% | -57.8% | 0.43 | 0.15 | 8.8x | 35 | 63% |
| SMA 크로스오버 fast=48, slow=211 |
8.0% | -59.4% | 0.41 | 0.13 | 7.7x | 39 | 63% |
| EMA 크로스오버 fast=34, slow=169 |
7.4% | -63.5% | 0.39 | 0.12 | 6.7x | 51 | 64% |
| ADX / DI 방향성 period=38, threshold=12 |
4.3% | -50.9% | 0.29 | 0.08 | 3.1x | 165 | 44% |
| ROC 모멘텀 n=146, threshold=-0.03 |
3.9% | -75.9% | 0.28 | 0.05 | 2.7x | 271 | 72% |
| Supertrend period=34, mult=2.9 |
3.3% | -67.6% | 0.26 | 0.05 | 2.3x | 138 | 50% |
| MACD fast=18, slow=58, signal=19 |
1.1% | -75.8% | 0.18 | 0.01 | 1.3x | 277 | 49% |
| 볼린저 밴드 돌파 n=31, k=2 |
0.7% | -62.1% | 0.14 | 0.01 | 1.2x | 193 | 34% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=8, mult=2.1 |
0.7% | -46.5% | 0.14 | 0.02 | 1.2x | 114 | 26% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-2.9% | -85.8% | 0.02 | -0.03 | 0.5x | 546 | 51% |
| Buy and hold | 13.9% | -68.4% | 0.54 | 0.20 | 32.3x | 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 82 days
- Sell — Sell when price breaks below the lowest low of the last 70 days