Trend-Following Backtester · Guide · backtest 한국어
equity · KR
CJ제일제당 backtest
10 trend-following strategies were compared on the full daily history of CJ제일제당. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.2%, MDD -13.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR -1.0%, drawdown -67.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.0%, MDD -45.2%, Sharpe 0.15, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 22.2%p (CAGR 0.2%, MDD -13.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=55, slow=212 |
1.0% | -45.2% | 0.15 | 0.02 | 1.2x | 26 | 44% |
| 볼린저 밴드 돌파 n=21, k=3.3 |
0.2% | -17.2% | 0.06 | 0.01 | 1.0x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=10, mult=3 |
0.2% | -13.2% | 0.06 | 0.01 | 1.0x | 4 | 1% |
| EMA 크로스오버 fast=15, slow=217 |
-1.1% | -61.8% | 0.06 | -0.02 | 0.8x | 44 | 42% |
| Donchian 채널 돌파 entryN=26, exitN=97 |
-3.9% | -73.5% | -0.01 | -0.05 | 0.5x | 46 | 74% |
| ROC 모멘텀 n=134, threshold=0.12 |
-2.0% | -60.6% | -0.03 | -0.03 | 0.7x | 136 | 23% |
| Supertrend period=26, mult=3.5 |
-5.1% | -65.1% | -0.10 | -0.08 | 0.4x | 94 | 50% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-5.3% | -72.9% | -0.12 | -0.07 | 0.4x | 157 | 49% |
| ADX / DI 방향성 period=27, threshold=30 |
-0.6% | -16.3% | -0.22 | -0.04 | 0.9x | 4 | 0% |
| MACD fast=9, slow=28, signal=17 |
-7.3% | -82.6% | -0.22 | -0.09 | 0.2x | 317 | 50% |
| Buy and hold | -1.0% | -67.4% | 0.15 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 55-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 55-day average falls below the 212-day average