Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한국카본 backtest
10 trend-following strategies were compared on the full daily history of 한국카본. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.6%, drawdown -86.5%).
Sharpe leader (same as main): Supertrend — CAGR 5.3%, MDD -72.6%, Sharpe 0.32, 46% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=29, mult=4.2 |
5.3% | -72.6% | 0.32 | 0.07 | 4.0x | 102 | 46% |
| EMA 크로스오버 fast=10, slow=110 |
3.4% | -80.6% | 0.27 | 0.04 | 2.4x | 106 | 50% |
| SMA 크로스오버 fast=11, slow=103 |
3.0% | -84.5% | 0.25 | 0.03 | 2.2x | 112 | 49% |
| ADX / DI 방향성 period=34, threshold=27 |
2.5% | -40.5% | 0.25 | 0.06 | 1.9x | 14 | 6% |
| Donchian 채널 돌파 entryN=84, exitN=37 |
2.2% | -73.1% | 0.22 | 0.03 | 1.8x | 56 | 32% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=25, mult=0.7 |
1.8% | -82.3% | 0.22 | 0.02 | 1.6x | 224 | 45% |
| 볼린저 밴드 돌파 n=52, k=2.2 |
1.4% | -86.2% | 0.18 | 0.02 | 1.4x | 100 | 28% |
| ROC 모멘텀 n=78, threshold=0.01 |
-0.4% | -75.4% | 0.15 | -0.01 | 0.9x | 304 | 49% |
| MACD fast=16, slow=53, signal=13 |
-3.7% | -85.7% | 0.06 | -0.04 | 0.4x | 354 | 52% |
| Parabolic SAR step=0.025, maxStep=0.08 |
-3.8% | -84.0% | 0.06 | -0.05 | 0.4x | 498 | 50% |
| Buy and hold | 4.6% | -86.5% | 0.34 | 0.05 | 3.3x | 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) — 29-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)