Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한솔케미칼 backtest
10 trend-following strategies were compared on the full daily history of 한솔케미칼. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.9%, MDD -59.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.0%, drawdown -79.5%).
Sharpe leader (same as main): Supertrend — CAGR 13.9%, MDD -59.5%, Sharpe 0.59, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 13.9%, MDD -59.5%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=3.4 |
13.9% | -59.5% | 0.59 | 0.23 | 31.6x | 114 | 52% |
| SMA 크로스오버 fast=15, slow=134 |
13.8% | -62.6% | 0.57 | 0.22 | 30.9x | 72 | 59% |
| ADX / DI 방향성 period=41, threshold=14 |
11.6% | -53.7% | 0.57 | 0.22 | 18.3x | 98 | 37% |
| EMA 크로스오버 fast=20, slow=72 |
12.6% | -62.2% | 0.54 | 0.20 | 23.6x | 92 | 57% |
| 볼린저 밴드 돌파 n=70, k=1.5 |
11.4% | -49.4% | 0.54 | 0.23 | 17.5x | 100 | 41% |
| Donchian 채널 돌파 entryN=24, exitN=24 |
12.4% | -65.1% | 0.54 | 0.19 | 22.5x | 110 | 55% |
| Parabolic SAR step=0.01, maxStep=0.02 |
11.3% | -65.9% | 0.51 | 0.17 | 17.1x | 148 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=17, mult=3 |
9.1% | -52.2% | 0.49 | 0.17 | 10.1x | 80 | 31% |
| ROC 모멘텀 n=79, threshold=-0.01 |
10.5% | -63.9% | 0.48 | 0.17 | 14.3x | 230 | 60% |
| MACD fast=15, slow=57, signal=18 |
5.2% | -71.0% | 0.32 | 0.07 | 3.8x | 302 | 50% |
| Buy and hold | 13.0% | -79.5% | 0.50 | 0.16 | 25.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)