Trend-Following Backtester · Guide · backtest 한국어
equity · KR
롯데에너지머티리얼즈 backtest
10 trend-following strategies were compared on the full daily history of 롯데에너지머티리얼즈. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.1%, MDD -51.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.7%, drawdown -85.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 28.2%, MDD -57.7%, Sharpe 0.85, 49% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 21.5%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 10.1%, MDD -51.6%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.015, maxStep=0.12 |
28.2% | -57.7% | 0.85 | 0.49 | 46.9x | 225 | 49% |
| MACD fast=7, slow=27, signal=18 |
22.1% | -59.1% | 0.72 | 0.37 | 22.1x | 235 | 49% |
| ADX / DI 방향성 period=8, threshold=36 |
15.9% | -52.0% | 0.68 | 0.31 | 9.8x | 156 | 24% |
| Supertrend period=6, mult=2 |
16.9% | -59.0% | 0.61 | 0.29 | 11.3x | 163 | 48% |
| 볼린저 밴드 돌파 n=16, k=1.4 |
14.5% | -69.0% | 0.58 | 0.21 | 8.2x | 219 | 37% |
| EMA 크로스오버 fast=10, slow=24 |
14.5% | -60.3% | 0.55 | 0.24 | 8.2x | 127 | 49% |
| ROC 모멘텀 n=14, threshold=0.12 |
10.1% | -51.6% | 0.51 | 0.20 | 4.4x | 239 | 18% |
| Donchian 채널 돌파 entryN=67, exitN=55 |
11.8% | -58.9% | 0.49 | 0.20 | 5.7x | 26 | 43% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=14, mult=1.9 |
8.7% | -58.4% | 0.44 | 0.15 | 3.6x | 98 | 24% |
| SMA 크로스오버 fast=59, slow=271 |
9.7% | -69.2% | 0.44 | 0.14 | 4.2x | 16 | 43% |
| Buy and hold | 6.7% | -85.9% | 0.40 | 0.08 | 2.7x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots