Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HD한국조선해양 backtest
10 trend-following strategies were compared on the full daily history of HD한국조선해양. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.7%, MDD -54.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.3%, drawdown -85.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.0%, MDD -59.1%, Sharpe 0.64, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 26.1%p (CAGR 14.7%, MDD -54.8%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=43, slow=187 |
17.0% | -59.1% | 0.64 | 0.29 | 64.5x | 24 | 53% |
| SMA 크로스오버 fast=42, slow=209 |
15.6% | -59.5% | 0.60 | 0.26 | 47.2x | 30 | 54% |
| Donchian 채널 돌파 entryN=67, exitN=77 |
14.7% | -54.8% | 0.58 | 0.27 | 37.8x | 38 | 54% |
| ROC 모멘텀 n=106, threshold=0.09 |
12.8% | -68.6% | 0.54 | 0.19 | 24.7x | 210 | 46% |
| 볼린저 밴드 돌파 n=35, k=2.6 |
7.9% | -36.2% | 0.47 | 0.22 | 7.5x | 92 | 22% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=8, mult=2.8 |
9.0% | -45.2% | 0.46 | 0.20 | 9.9x | 92 | 27% |
| Supertrend period=17, mult=3.9 |
10.2% | -61.4% | 0.46 | 0.17 | 13.1x | 118 | 51% |
| ADX / DI 방향성 period=35, threshold=13 |
8.0% | -48.3% | 0.41 | 0.16 | 7.7x | 180 | 37% |
| Parabolic SAR step=0.005, maxStep=0.22 |
7.4% | -65.3% | 0.38 | 0.11 | 6.7x | 212 | 50% |
| MACD fast=17, slow=54, signal=24 |
5.0% | -84.4% | 0.31 | 0.06 | 3.7x | 249 | 51% |
| Buy and hold | 10.3% | -85.2% | 0.44 | 0.12 | 13.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 187-day EMA
- Sell — Sell when the 43-day EMA falls below the 187-day EMA