Trend-Following Backtester · Guide · backtest 한국어
equity · KR
대우건설 backtest
10 trend-following strategies were compared on the full daily history of 대우건설. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.4%, MDD -36.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.7%, drawdown -92.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.4%, MDD -36.4%, Sharpe 0.53, 4% exposure.
CAGR reference leader: Supertrend — CAGR 10.6%, MDD -69.1%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 56.0%p (CAGR 8.4%, MDD -36.4%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=17, mult=4 |
8.4% | -36.4% | 0.53 | 0.23 | 7.8x | 22 | 4% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
7.1% | -28.6% | 0.49 | 0.25 | 5.7x | 14 | 2% |
| ADX / DI 방향성 period=26, threshold=35 |
7.5% | -45.1% | 0.48 | 0.17 | 6.2x | 10 | 4% |
| Supertrend period=13, mult=4.8 |
10.6% | -69.1% | 0.46 | 0.15 | 12.9x | 83 | 47% |
| Donchian 채널 돌파 entryN=52, exitN=24 |
8.6% | -74.6% | 0.42 | 0.12 | 8.2x | 78 | 30% |
| SMA 크로스오버 fast=11, slow=48 |
8.9% | -85.7% | 0.42 | 0.10 | 8.7x | 159 | 48% |
| ROC 모멘텀 n=160, threshold=0.07 |
7.9% | -69.9% | 0.40 | 0.11 | 7.0x | 153 | 39% |
| EMA 크로스오버 fast=19, slow=147 |
7.3% | -85.9% | 0.37 | 0.08 | 6.0x | 67 | 45% |
| MACD fast=14, slow=41, signal=13 |
6.9% | -84.8% | 0.36 | 0.08 | 5.5x | 345 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.6% | -87.6% | 0.33 | 0.06 | 4.0x | 417 | 49% |
| Buy and hold | 8.7% | -92.4% | 0.41 | 0.09 | 8.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 19-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average