Trend-Following Backtester · Guide · backtest 한국어
equity · KR
씨에스윈드 backtest
10 trend-following strategies were compared on the full daily history of 씨에스윈드. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.5%, MDD -43.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 10.1%, drawdown -67.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.5%, MDD -43.2%, Sharpe 0.66, 35% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 16.5%, MDD -43.2%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=1.8 |
16.5% | -43.2% | 0.66 | 0.38 | 6.1x | 53 | 35% |
| ADX / DI 방향성 period=29, threshold=20 |
13.4% | -46.5% | 0.62 | 0.29 | 4.4x | 36 | 22% |
| MACD fast=13, slow=34, signal=23 |
16.1% | -46.5% | 0.60 | 0.35 | 5.8x | 125 | 51% |
| Donchian 채널 돌파 entryN=32, exitN=22 |
14.3% | -66.2% | 0.56 | 0.22 | 4.8x | 45 | 44% |
| SMA 크로스오버 fast=14, slow=38 |
13.8% | -63.1% | 0.54 | 0.22 | 4.6x | 87 | 51% |
| EMA 크로스오버 fast=14, slow=38 |
10.6% | -61.6% | 0.46 | 0.17 | 3.3x | 75 | 49% |
| ROC 모멘텀 n=51, threshold=0.12 |
7.6% | -70.5% | 0.40 | 0.11 | 2.4x | 146 | 33% |
| Parabolic SAR step=0.005, maxStep=0.14 |
7.2% | -71.3% | 0.38 | 0.10 | 2.3x | 89 | 47% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=23, mult=2.3 |
5.7% | -74.7% | 0.34 | 0.08 | 1.9x | 54 | 29% |
| Supertrend period=27, mult=2.4 |
3.8% | -68.7% | 0.29 | 0.06 | 1.6x | 111 | 49% |
| Buy and hold | 10.1% | -67.0% | 0.45 | 0.15 | 3.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 47-day middle average