Trend-Following Backtester · Guide · backtest 한국어
equity · KR
경동나비엔 backtest
10 trend-following strategies were compared on the full daily history of 경동나비엔. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.0%, MDD -45.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -62.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.0%, MDD -45.5%, Sharpe 0.47, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 16.6%p (CAGR 10.0%, MDD -45.5%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=67, k=1 |
10.0% | -45.5% | 0.47 | 0.22 | 12.6x | 128 | 43% |
| Parabolic SAR step=0.005, maxStep=0.18 |
9.7% | -45.0% | 0.45 | 0.22 | 11.7x | 200 | 49% |
| Donchian 채널 돌파 entryN=19, exitN=46 |
9.6% | -59.0% | 0.43 | 0.16 | 11.4x | 90 | 72% |
| Supertrend period=24, mult=4.3 |
8.7% | -55.8% | 0.42 | 0.16 | 9.2x | 88 | 54% |
| SMA 크로스오버 fast=7, slow=91 |
8.3% | -54.8% | 0.41 | 0.15 | 8.4x | 128 | 53% |
| EMA 크로스오버 fast=31, slow=129 |
8.3% | -56.6% | 0.41 | 0.15 | 8.4x | 60 | 55% |
| ROC 모멘텀 n=92, threshold=-0.04 |
6.5% | -65.9% | 0.35 | 0.10 | 5.3x | 231 | 62% |
| MACD fast=23, slow=37, signal=16 |
3.5% | -57.9% | 0.26 | 0.06 | 2.5x | 296 | 50% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=22, mult=1.8 |
3.1% | -62.5% | 0.25 | 0.05 | 2.3x | 132 | 40% |
| ADX / DI 방향성 period=20, threshold=30 |
1.5% | -55.6% | 0.17 | 0.03 | 1.5x | 70 | 12% |
| Buy and hold | 12.9% | -62.1% | 0.50 | 0.21 | 25.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 67-day average (1× volatility)
- Sell — Sell when the close falls back to the 67-day middle average