Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한국가스공사 backtest
10 trend-following strategies were compared on the full daily history of 한국가스공사. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -40.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.7%, drawdown -80.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -40.6%, Sharpe 0.35, 47% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 6.0%, MDD -40.6%, exposure 47%).
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=59, slow=127 |
6.0% | -40.6% | 0.35 | 0.15 | 4.7x | 46 | 47% |
| Donchian 채널 돌파 entryN=102, exitN=93 |
1.8% | -60.8% | 0.20 | 0.03 | 1.6x | 30 | 48% |
| EMA 크로스오버 fast=71, slow=216 |
1.2% | -58.5% | 0.18 | 0.02 | 1.4x | 32 | 48% |
| ROC 모멘텀 n=129, threshold=-0.02 |
1.1% | -58.4% | 0.18 | 0.02 | 1.3x | 214 | 51% |
| Parabolic SAR step=0.01, maxStep=0.1 |
0.2% | -61.9% | 0.14 | 0.00 | 1.1x | 323 | 48% |
| Supertrend period=18, mult=3.3 |
-0.2% | -70.4% | 0.13 | -0.00 | 1.0x | 150 | 51% |
| ADX / DI 방향성 period=14, threshold=39 |
0.4% | -31.1% | 0.09 | 0.01 | 1.1x | 44 | 4% |
| MACD fast=13, slow=50, signal=19 |
-2.3% | -75.5% | 0.04 | -0.03 | 0.5x | 309 | 49% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
-2.2% | -59.3% | -0.03 | -0.04 | 0.5x | 76 | 21% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=3.7 |
-2.4% | -62.7% | -0.09 | -0.04 | 0.5x | 52 | 9% |
| Buy and hold | 0.7% | -80.4% | 0.21 | 0.01 | 1.2x | 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 59-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 59-day average falls below the 127-day average