Trend-Following Backtester · Guide · backtest 한국어
equity · KR
코오롱인더 backtest
10 trend-following strategies were compared on the full daily history of 코오롱인더. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.8%, MDD -46.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.0%, drawdown -83.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -46.8%, Sharpe 0.47, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 36.6%p (CAGR 8.8%, MDD -46.2%, exposure 40%).
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=10, slow=60 |
9.9% | -46.8% | 0.47 | 0.21 | 4.8x | 74 | 48% |
| 볼린저 밴드 돌파 n=51, k=1 |
8.8% | -46.2% | 0.45 | 0.19 | 4.1x | 90 | 40% |
| Donchian 채널 돌파 entryN=26, exitN=23 |
8.6% | -59.5% | 0.43 | 0.14 | 3.9x | 68 | 47% |
| Supertrend period=17, mult=3.4 |
7.6% | -48.8% | 0.40 | 0.16 | 3.4x | 80 | 48% |
| MACD fast=16, slow=51, signal=24 |
7.3% | -59.0% | 0.39 | 0.12 | 3.2x | 153 | 50% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=21, mult=2.3 |
4.3% | -53.2% | 0.29 | 0.08 | 2.0x | 56 | 31% |
| ADX / DI 방향성 period=20, threshold=12 |
4.0% | -71.3% | 0.28 | 0.06 | 1.9x | 225 | 47% |
| EMA 크로스오버 fast=18, slow=198 |
2.5% | -69.2% | 0.23 | 0.04 | 1.5x | 26 | 37% |
| ROC 모멘텀 n=57, threshold=0.02 |
1.5% | -70.4% | 0.20 | 0.02 | 1.3x | 210 | 45% |
| Parabolic SAR step=0.02, maxStep=0.32 |
0.2% | -65.6% | 0.15 | 0.00 | 1.0x | 336 | 49% |
| Buy and hold | 2.0% | -83.4% | 0.26 | 0.02 | 1.4x | 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 10-day average price crosses above the 60-day average
- Sell — Sell (to cash) when the 10-day average falls below the 60-day average