Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한전기술 backtest
10 trend-following strategies were compared on the full daily history of 한전기술. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.4%, MDD -39.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.5%, drawdown -90.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.3%, MDD -53.3%, Sharpe 0.45, 12% exposure.
CAGR reference leader: Parabolic SAR — CAGR 9.8%, MDD -65.7%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 37.6%p (CAGR 6.4%, MDD -39.2%, exposure 8%).
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=13, atrPeriod=29, mult=2.3 |
8.3% | -53.3% | 0.45 | 0.16 | 3.7x | 70 | 12% |
| Parabolic SAR step=0.045, maxStep=0.1 |
9.8% | -65.7% | 0.44 | 0.15 | 4.7x | 362 | 46% |
| 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 |
8.2% | -73.0% | 0.40 | 0.11 | 3.7x | 56 | 36% |
| Supertrend period=15, mult=1.9 |
8.3% | -66.6% | 0.40 | 0.13 | 3.8x | 200 | 43% |
| ADX / DI 방향성 period=36, threshold=12 |
7.9% | -61.0% | 0.39 | 0.13 | 3.5x | 100 | 48% |
| MACD fast=19, slow=26, signal=24 |
6.0% | -67.3% | 0.34 | 0.09 | 2.6x | 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 |
3.7% | -69.2% | 0.28 | 0.05 | 1.8x | 90 | 48% |
| SMA 크로스오버 fast=8, slow=83 |
0.9% | -78.3% | 0.21 | 0.01 | 1.2x | 96 | 46% |
| Buy and hold | 6.5% | -90.8% | 0.38 | 0.07 | 2.9x | 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 13-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average