Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한전기술 backtest
10 trend-following strategies were compared on the full daily history of 한전기술. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.8%, MDD -53.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.2%, drawdown -90.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 9.7%, MDD -65.7%, Sharpe 0.44, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 7.8%, MDD -53.3%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.045, maxStep=0.1 |
9.7% | -65.7% | 0.44 | 0.15 | 4.7x | 365 | 46% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=29, mult=2.3 |
7.8% | -53.3% | 0.43 | 0.15 | 3.5x | 71 | 12% |
| Supertrend period=15, mult=1.9 |
9.3% | -66.6% | 0.43 | 0.14 | 4.4x | 201 | 43% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
6.4% | -39.2% | 0.41 | 0.16 | 2.8x | 22 | 8% |
| Donchian 채널 돌파 entryN=40, exitN=23 |
7.7% | -73.0% | 0.39 | 0.11 | 3.5x | 57 | 36% |
| ADX / DI 방향성 period=36, threshold=12 |
7.8% | -61.0% | 0.39 | 0.13 | 3.5x | 100 | 48% |
| MACD fast=19, slow=26, signal=24 |
7.7% | -67.3% | 0.39 | 0.11 | 3.5x | 179 | 49% |
| ROC 모멘텀 n=104, threshold=0.06 |
3.8% | -83.2% | 0.28 | 0.05 | 1.9x | 132 | 37% |
| EMA 크로스오버 fast=22, slow=32 |
3.3% | -69.2% | 0.27 | 0.05 | 1.7x | 91 | 48% |
| SMA 크로스오버 fast=8, slow=83 |
0.9% | -78.3% | 0.21 | 0.01 | 1.2x | 96 | 46% |
| Buy and hold | 8.2% | -90.8% | 0.41 | 0.09 | 3.7x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots