Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대모비스 backtest
10 trend-following strategies were compared on the full daily history of 현대모비스. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.4%, drawdown -68.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.0%, MDD -70.5%, Sharpe 0.52, 60% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=32, slow=212 |
12.0% | -70.5% | 0.52 | 0.17 | 20.4x | 49 | 60% |
| EMA 크로스오버 fast=25, slow=214 |
11.5% | -76.1% | 0.50 | 0.15 | 18.1x | 55 | 61% |
| ROC 모멘텀 n=39, threshold=-0.09 |
8.8% | -85.7% | 0.42 | 0.10 | 9.3x | 328 | 82% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=3.3 |
6.8% | -73.1% | 0.41 | 0.09 | 5.7x | 66 | 23% |
| Donchian 채널 돌파 entryN=70, exitN=75 |
8.1% | -79.6% | 0.41 | 0.10 | 7.9x | 45 | 61% |
| Supertrend period=15, mult=4.2 |
7.7% | -73.8% | 0.40 | 0.10 | 7.2x | 100 | 57% |
| ADX / DI 방향성 period=31, threshold=16 |
6.4% | -54.5% | 0.38 | 0.12 | 5.1x | 128 | 26% |
| MACD fast=11, slow=51, signal=19 |
4.8% | -88.4% | 0.31 | 0.05 | 3.5x | 358 | 50% |
| 볼린저 밴드 돌파 n=57, k=1.7 |
4.4% | -89.3% | 0.30 | 0.05 | 3.2x | 138 | 38% |
| Parabolic SAR step=0.015, maxStep=0.02 |
4.4% | -91.3% | 0.29 | 0.05 | 3.1x | 184 | 55% |
| Buy and hold | 17.4% | -68.9% | 0.60 | 0.25 | 71.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 32-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 32-day average falls below the 212-day average