Trend-Following Backtester · Guide · backtest 한국어
equity · KR
코웨이 backtest
10 trend-following strategies were compared on the full daily history of 코웨이. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.3%, drawdown -74.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.9%, MDD -36.2%, Sharpe 0.53, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.3%, MDD -63.6%, exposure 57%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=16, mult=3.9 |
7.9% | -36.2% | 0.53 | 0.22 | 7.5x | 32 | 14% |
| SMA 크로스오버 fast=41, slow=82 |
9.3% | -63.6% | 0.44 | 0.15 | 10.5x | 89 | 57% |
| ADX / DI 방향성 period=37, threshold=22 |
5.7% | -37.0% | 0.43 | 0.15 | 4.3x | 28 | 10% |
| Donchian 채널 돌파 entryN=49, exitN=69 |
7.6% | -61.0% | 0.39 | 0.12 | 7.0x | 51 | 58% |
| Supertrend period=9, mult=4.1 |
7.5% | -67.6% | 0.39 | 0.11 | 6.8x | 83 | 59% |
| EMA 크로스오버 fast=29, slow=188 |
7.3% | -76.3% | 0.38 | 0.10 | 6.5x | 53 | 59% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
4.1% | -31.7% | 0.36 | 0.13 | 2.9x | 26 | 9% |
| MACD fast=22, slow=72, signal=19 |
3.8% | -82.9% | 0.27 | 0.05 | 2.7x | 238 | 52% |
| ROC 모멘텀 n=78, threshold=-0.03 |
-0.1% | -94.3% | 0.16 | -0.00 | 1.0x | 347 | 63% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.7% | -87.0% | 0.06 | -0.03 | 0.5x | 213 | 51% |
| Buy and hold | 15.3% | -74.6% | 0.55 | 0.20 | 43.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 47-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 47-day average