Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한국타이어앤테크놀로지 backtest
10 trend-following strategies were compared on the full daily history of 한국타이어앤테크놀로지. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.0%, MDD -23.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.4%, drawdown -76.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.7%, MDD -38.9%, Sharpe 0.50, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 37.7%p (CAGR 4.0%, MDD -23.7%, exposure 15%).
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=52, slow=189 |
9.7% | -38.9% | 0.50 | 0.25 | 3.6x | 15 | 46% |
| EMA 크로스오버 fast=39, slow=136 |
5.9% | -44.1% | 0.35 | 0.13 | 2.2x | 21 | 46% |
| ADX / DI 방향성 period=35, threshold=20 |
4.0% | -23.7% | 0.33 | 0.17 | 1.7x | 24 | 15% |
| Supertrend period=19, mult=3.6 |
5.4% | -47.6% | 0.33 | 0.11 | 2.1x | 47 | 50% |
| ROC 모멘텀 n=131, threshold=-0.02 |
5.2% | -46.9% | 0.33 | 0.11 | 2.0x | 81 | 49% |
| Donchian 채널 돌파 entryN=20, exitN=67 |
2.5% | -61.8% | 0.24 | 0.04 | 1.4x | 37 | 72% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=15, mult=3.9 |
1.3% | -9.8% | 0.23 | 0.13 | 1.2x | 4 | 2% |
| 볼린저 밴드 돌파 n=42, k=3.4 |
0.8% | -32.8% | 0.13 | 0.02 | 1.1x | 10 | 6% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.6% | -66.9% | -0.04 | -0.07 | 0.5x | 107 | 50% |
| MACD fast=17, slow=30, signal=23 |
-6.2% | -71.3% | -0.11 | -0.09 | 0.4x | 148 | 50% |
| Buy and hold | 2.4% | -76.6% | 0.25 | 0.03 | 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 52-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 52-day average falls below the 189-day average