Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한국전력 backtest
10 trend-following strategies were compared on the full daily history of 한국전력. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -11.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.1%, drawdown -74.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.8%, MDD -51.4%, Sharpe 0.28, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 22.9%p (CAGR 0.2%, MDD -11.1%, exposure 0%).
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=86, slow=331 |
3.8% | -51.4% | 0.28 | 0.07 | 2.7x | 15 | 44% |
| SMA 크로스오버 fast=35, slow=219 |
2.7% | -52.0% | 0.23 | 0.05 | 2.1x | 40 | 47% |
| Keltner 채널 돌파 emaPeriod=83, atrPeriod=14, mult=4 |
2.3% | -37.8% | 0.22 | 0.06 | 1.9x | 40 | 21% |
| Supertrend period=37, mult=3.9 |
1.5% | -57.6% | 0.18 | 0.03 | 1.5x | 100 | 46% |
| Donchian 채널 돌파 entryN=135, exitN=31 |
1.4% | -52.3% | 0.17 | 0.03 | 1.4x | 40 | 23% |
| 볼린저 밴드 돌파 n=71, k=2 |
-0.1% | -58.1% | 0.09 | -0.00 | 1.0x | 84 | 30% |
| ADX / DI 방향성 period=34, threshold=33 |
0.2% | -11.1% | 0.07 | 0.01 | 1.0x | 2 | 0% |
| MACD fast=19, slow=37, signal=18 |
-3.6% | -71.8% | -0.05 | -0.05 | 0.4x | 304 | 50% |
| ROC 모멘텀 n=127, threshold=0.07 |
-2.9% | -81.4% | -0.05 | -0.04 | 0.5x | 236 | 35% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.7% | -72.1% | -0.05 | -0.05 | 0.4x | 204 | 47% |
| Buy and hold | -0.1% | -74.3% | 0.16 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 86-day EMA crosses above the 331-day EMA
- Sell — Sell when the 86-day EMA falls below the 331-day EMA