Trend-Following Backtester · Guide · backtest 한국어
equity · KR
금호타이어 backtest
10 trend-following strategies were compared on the full daily history of 금호타이어. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 2.0%, MDD -9.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.7%, drawdown -95.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.0%, MDD -9.6%, Sharpe 0.26, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 10.7%p higher than buy and hold, while drawdown improves by 85.8%p (CAGR 2.0%, MDD -9.6%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=1, threshold=0.28 |
2.0% | -9.6% | 0.26 | 0.21 | 1.5x | 6 | 0% |
| SMA 크로스오버 fast=54, slow=77 |
-0.1% | -61.3% | 0.14 | -0.00 | 1.0x | 86 | 45% |
| EMA 크로스오버 fast=48, slow=83 |
-1.1% | -72.8% | 0.09 | -0.02 | 0.8x | 37 | 38% |
| 볼린저 밴드 돌파 n=37, k=3.4 |
-0.2% | -55.5% | 0.08 | -0.00 | 0.9x | 37 | 10% |
| MACD fast=19, slow=48, signal=18 |
-4.0% | -86.3% | 0.05 | -0.05 | 0.4x | 215 | 49% |
| Donchian 채널 돌파 entryN=63, exitN=74 |
-3.6% | -75.0% | 0.04 | -0.05 | 0.5x | 35 | 43% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=24, mult=2.7 |
-1.3% | -62.1% | 0.03 | -0.02 | 0.8x | 76 | 12% |
| Supertrend period=6, mult=4.2 |
-5.1% | -90.3% | 0.01 | -0.06 | 0.3x | 81 | 53% |
| ADX / DI 방향성 period=20, threshold=37 |
-0.5% | -27.6% | -0.03 | -0.02 | 0.9x | 10 | 2% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-9.7% | -95.5% | -0.16 | -0.10 | 0.1x | 166 | 44% |
| Buy and hold | -8.7% | -95.4% | 0.04 | -0.09 | 0.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than 28%
- Sell — Sell when the 1-day return drops to 28% or below