Trend-Following Backtester · Guide · backtest 한국어
equity · KR
포스코인터내셔널 backtest
10 trend-following strategies were compared on the full daily history of 포스코인터내셔널. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -82.1%).
Sharpe leader (same as main): Supertrend — CAGR 10.6%, MDD -71.8%, Sharpe 0.45, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=3.4 |
10.6% | -71.8% | 0.45 | 0.15 | 12.9x | 136 | 53% |
| Donchian 채널 돌파 entryN=21, exitN=78 |
10.3% | -78.2% | 0.44 | 0.13 | 12.1x | 61 | 78% |
| SMA 크로스오버 fast=55, slow=94 |
7.6% | -73.5% | 0.38 | 0.10 | 6.4x | 80 | 52% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=13, mult=2.7 |
7.4% | -84.0% | 0.38 | 0.09 | 6.2x | 80 | 32% |
| MACD fast=18, slow=27, signal=23 |
7.5% | -84.6% | 0.38 | 0.09 | 6.3x | 281 | 49% |
| EMA 크로스오버 fast=14, slow=22 |
7.3% | -90.3% | 0.37 | 0.08 | 5.9x | 230 | 52% |
| ADX / DI 방향성 period=35, threshold=25 |
6.0% | -46.7% | 0.35 | 0.13 | 4.4x | 18 | 12% |
| 볼린저 밴드 돌파 n=55, k=3.3 |
5.9% | -56.3% | 0.34 | 0.11 | 4.3x | 36 | 13% |
| Parabolic SAR step=0.015, maxStep=0.24 |
4.1% | -79.7% | 0.29 | 0.05 | 2.8x | 416 | 48% |
| ROC 모멘텀 n=74, threshold=0.06 |
4.1% | -92.7% | 0.29 | 0.04 | 2.8x | 324 | 41% |
| Buy and hold | 12.8% | -82.1% | 0.49 | 0.16 | 21.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)