Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한전KPS backtest
10 trend-following strategies were compared on the full daily history of 한전KPS. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.1%, MDD -59.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.5%, drawdown -81.2%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.1%, MDD -59.2%, Sharpe 0.35, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 6.1%, MDD -59.2%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=35, slow=104 |
6.1% | -59.2% | 0.35 | 0.10 | 3.0x | 38 | 55% |
| SMA 크로스오버 fast=16, slow=205 |
6.0% | -64.1% | 0.35 | 0.09 | 2.9x | 38 | 53% |
| 볼린저 밴드 돌파 n=55, k=3.4 |
1.7% | -35.9% | 0.19 | 0.05 | 1.4x | 20 | 11% |
| Donchian 채널 돌파 entryN=32, exitN=72 |
0.7% | -79.3% | 0.18 | 0.01 | 1.1x | 46 | 70% |
| ROC 모멘텀 n=124, threshold=-0.03 |
-0.0% | -78.6% | 0.15 | -0.00 | 1.0x | 180 | 61% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=29, mult=3 |
0.6% | -33.3% | 0.11 | 0.02 | 1.1x | 30 | 5% |
| MACD fast=20, slow=36, signal=31 |
-1.4% | -67.3% | 0.09 | -0.02 | 0.8x | 169 | 51% |
| ADX / DI 방향성 period=30, threshold=28 |
0.0% | -28.1% | 0.05 | 0.00 | 1.0x | 12 | 5% |
| Supertrend period=24, mult=5 |
-2.7% | -86.4% | 0.05 | -0.03 | 0.6x | 56 | 53% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-6.2% | -88.8% | -0.09 | -0.07 | 0.3x | 226 | 50% |
| Buy and hold | 4.5% | -81.2% | 0.31 | 0.06 | 2.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 35-day EMA crosses above the 104-day EMA
- Sell — Sell when the 35-day EMA falls below the 104-day EMA