Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한진칼 backtest
10 trend-following strategies were compared on the full daily history of 한진칼. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 20.5%, drawdown -67.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.1%, MDD -64.3%, Sharpe 0.45, 76% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=24, exitN=65 |
10.1% | -64.3% | 0.45 | 0.16 | 3.5x | 32 | 76% |
| EMA 크로스오버 fast=58, slow=160 |
9.1% | -68.8% | 0.42 | 0.13 | 3.1x | 19 | 57% |
| MACD fast=19, slow=32, signal=19 |
9.0% | -76.4% | 0.42 | 0.12 | 3.1x | 131 | 50% |
| Supertrend period=12, mult=5 |
8.3% | -65.7% | 0.40 | 0.13 | 2.8x | 34 | 58% |
| ROC 모멘텀 n=39, threshold=-0.09 |
6.5% | -77.7% | 0.38 | 0.08 | 2.3x | 193 | 74% |
| SMA 크로스오버 fast=56, slow=191 |
5.7% | -59.3% | 0.35 | 0.10 | 2.1x | 25 | 56% |
| 볼린저 밴드 돌파 n=24, k=2.8 |
5.6% | -49.8% | 0.34 | 0.11 | 2.0x | 36 | 12% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=20, mult=1.8 |
4.6% | -59.3% | 0.30 | 0.08 | 1.8x | 80 | 22% |
| ADX / DI 방향성 period=28, threshold=26 |
4.4% | -60.1% | 0.30 | 0.07 | 1.7x | 22 | 16% |
| Parabolic SAR step=0.04, maxStep=0.16 |
-2.3% | -80.1% | 0.17 | -0.03 | 0.7x | 365 | 50% |
| Buy and hold | 20.5% | -67.9% | 0.61 | 0.30 | 11.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 24 days
- Sell — Sell when price breaks below the lowest low of the last 65 days