Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대위아 backtest
10 trend-following strategies were compared on the full daily history of 현대위아. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.9%, MDD -16.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.2%, drawdown -91.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.9%, MDD -16.7%, Sharpe 0.39, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.5%, MDD -53.6%, exposure 44%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 74.4%p (CAGR 3.9%, MDD -16.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=9, mult=3.3 |
3.9% | -16.7% | 0.39 | 0.23 | 1.8x | 4 | 1% |
| ADX / DI 방향성 period=33, threshold=25 |
3.9% | -30.4% | 0.33 | 0.13 | 1.8x | 8 | 5% |
| SMA 크로스오버 fast=51, slow=116 |
4.5% | -53.6% | 0.30 | 0.08 | 2.0x | 34 | 44% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
3.0% | -29.3% | 0.29 | 0.10 | 1.6x | 8 | 3% |
| ROC 모멘텀 n=124, threshold=0.14 |
4.0% | -45.7% | 0.28 | 0.09 | 1.8x | 90 | 24% |
| Parabolic SAR step=0.02, maxStep=0.1 |
3.2% | -74.2% | 0.26 | 0.04 | 1.6x | 264 | 49% |
| Supertrend period=21, mult=3.2 |
1.5% | -72.3% | 0.20 | 0.02 | 1.3x | 92 | 45% |
| Donchian 채널 돌파 entryN=10, exitN=64 |
0.4% | -82.7% | 0.20 | 0.00 | 1.1x | 56 | 78% |
| MACD fast=14, slow=21, signal=6 |
1.4% | -71.2% | 0.20 | 0.02 | 1.2x | 317 | 50% |
| EMA 크로스오버 fast=55, slow=157 |
-0.9% | -69.3% | 0.11 | -0.01 | 0.9x | 26 | 38% |
| Buy and hold | -1.2% | -91.1% | 0.19 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average