Trend-Following Backtester · Guide · backtest 한국어
equity · KR
파라다이스 backtest
10 trend-following strategies were compared on the full daily history of 파라다이스. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.5%, MDD -42.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.5%, drawdown -77.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -69.1%, Sharpe 0.35, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 8.7%p (CAGR 3.5%, MDD -42.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=224 |
6.2% | -69.1% | 0.35 | 0.09 | 4.2x | 34 | 45% |
| Donchian 채널 돌파 entryN=58, exitN=73 |
4.8% | -70.8% | 0.31 | 0.07 | 3.1x | 38 | 53% |
| EMA 크로스오버 fast=33, slow=41 |
4.6% | -73.1% | 0.30 | 0.06 | 2.9x | 88 | 49% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=21, mult=3.6 |
1.5% | -16.1% | 0.30 | 0.10 | 1.4x | 12 | 2% |
| ADX / DI 방향성 period=30, threshold=20 |
3.5% | -42.4% | 0.28 | 0.08 | 2.3x | 78 | 18% |
| Supertrend period=40, mult=4.9 |
3.9% | -66.2% | 0.28 | 0.06 | 2.5x | 58 | 49% |
| 볼린저 밴드 돌파 n=52, k=2.4 |
3.5% | -46.3% | 0.27 | 0.08 | 2.3x | 64 | 25% |
| MACD fast=36, slow=70, signal=38 |
2.1% | -74.6% | 0.22 | 0.03 | 1.6x | 137 | 52% |
| ROC 모멘텀 n=142, threshold=0.09 |
1.2% | -73.6% | 0.18 | 0.02 | 1.3x | 180 | 38% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.1% | -85.7% | 0.03 | -0.04 | 0.5x | 300 | 50% |
| Buy and hold | 2.5% | -77.8% | 0.27 | 0.03 | 1.8x | 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 58-day average price crosses above the 224-day average
- Sell — Sell (to cash) when the 58-day average falls below the 224-day average