Trend-Following Backtester · Guide · backtest 한국어
equity · KR
두산에너빌리티 backtest
10 trend-following strategies were compared on the full daily history of 두산에너빌리티. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.5%, MDD -56.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 13.1%, drawdown -98.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.9%, MDD -69.8%, Sharpe 0.64, 44% exposure.
CAGR reference leader: MACD — CAGR 18.1%, MDD -68.7%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 12.5%, MDD -56.0%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=63, slow=387 |
17.9% | -69.8% | 0.64 | 0.26 | 70.6x | 17 | 44% |
| MACD fast=10, slow=33, signal=8 |
18.1% | -68.7% | 0.63 | 0.26 | 73.0x | 493 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
16.4% | -90.6% | 0.60 | 0.18 | 50.4x | 325 | 49% |
| 볼린저 밴드 돌파 n=22, k=1.7 |
14.0% | -68.1% | 0.57 | 0.21 | 29.8x | 244 | 31% |
| Donchian 채널 돌파 entryN=21, exitN=4 |
12.5% | -56.0% | 0.55 | 0.22 | 21.0x | 251 | 24% |
| Supertrend period=8, mult=2.5 |
14.5% | -86.3% | 0.55 | 0.17 | 33.4x | 229 | 51% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=26, mult=2.5 |
10.4% | -57.0% | 0.53 | 0.18 | 12.8x | 90 | 11% |
| ROC 모멘텀 n=115, threshold=0.13 |
11.5% | -78.7% | 0.48 | 0.15 | 16.7x | 194 | 36% |
| EMA 크로스오버 fast=27, slow=117 |
10.6% | -88.6% | 0.45 | 0.12 | 13.4x | 64 | 50% |
| ADX / DI 방향성 period=23, threshold=31 |
7.0% | -49.3% | 0.43 | 0.14 | 5.7x | 30 | 7% |
| Buy and hold | 13.1% | -98.5% | 0.50 | 0.13 | 23.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 63-day average price crosses above the 387-day average
- Sell — Sell (to cash) when the 63-day average falls below the 387-day average