Trend-Following Backtester · Guide · backtest 한국어
equity · KR
NAVER backtest
10 trend-following strategies were compared on the full daily history of NAVER. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.0%, MDD -46.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 22.1%, drawdown -68.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.0%, MDD -46.4%, Sharpe 0.69, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 21.7%p (CAGR 19.0%, MDD -46.4%, exposure 56%).
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=57, slow=90 |
19.0% | -46.4% | 0.69 | 0.41 | 62.1x | 73 | 56% |
| EMA 크로스오버 fast=61, slow=95 |
18.4% | -56.1% | 0.65 | 0.33 | 55.4x | 42 | 64% |
| Donchian 채널 돌파 entryN=78, exitN=103 |
17.9% | -52.7% | 0.63 | 0.34 | 50.2x | 24 | 71% |
| ROC 모멘텀 n=120, threshold=-0.11 |
16.1% | -60.2% | 0.58 | 0.27 | 35.0x | 150 | 78% |
| 볼린저 밴드 돌파 n=51, k=1.8 |
10.1% | -70.3% | 0.49 | 0.14 | 9.9x | 106 | 39% |
| Supertrend period=20, mult=3.7 |
9.8% | -71.0% | 0.46 | 0.14 | 9.3x | 112 | 55% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=2.3 |
7.7% | -74.5% | 0.42 | 0.10 | 5.8x | 100 | 36% |
| ADX / DI 방향성 period=38, threshold=23 |
4.4% | -31.7% | 0.36 | 0.14 | 2.8x | 26 | 10% |
| Parabolic SAR step=0.005, maxStep=0.38 |
5.0% | -72.8% | 0.31 | 0.07 | 3.2x | 196 | 50% |
| MACD fast=18, slow=44, signal=19 |
1.9% | -80.7% | 0.22 | 0.02 | 1.6x | 271 | 51% |
| Buy and hold | 22.1% | -68.1% | 0.67 | 0.32 | 115.2x | 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 57-day average price crosses above the 90-day average
- Sell — Sell (to cash) when the 57-day average falls below the 90-day average