Trend-Following Backtester · Guide · backtest 한국어
equity · KR
두산에너빌리티 backtest
10 trend-following strategies were compared on the full daily history of 두산에너빌리티. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.0%, MDD -56.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.2%, drawdown -98.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.0%, MDD -69.8%, Sharpe 0.62, 44% exposure.
CAGR reference leader: MACD — CAGR 17.2%, MDD -68.7%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 13.0%, 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 |
17.0% | -69.8% | 0.62 | 0.24 | 57.4x | 17 | 44% |
| MACD fast=10, slow=33, signal=8 |
17.2% | -68.7% | 0.61 | 0.25 | 59.7x | 492 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
15.9% | -90.6% | 0.58 | 0.18 | 44.8x | 324 | 49% |
| 볼린저 밴드 돌파 n=22, k=1.7 |
14.5% | -68.1% | 0.58 | 0.21 | 32.8x | 242 | 31% |
| Donchian 채널 돌파 entryN=21, exitN=4 |
13.0% | -56.0% | 0.57 | 0.23 | 23.3x | 248 | 24% |
| Supertrend period=8, mult=2.5 |
14.3% | -86.3% | 0.54 | 0.17 | 31.3x | 228 | 50% |
| 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 |
11.6% | -78.7% | 0.49 | 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 | 12.2% | -98.5% | 0.48 | 0.12 | 19.4x | 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