Trend-Following Backtester · Guide · backtest 한국어
equity · KR
종근당 backtest
10 trend-following strategies were compared on the full daily history of 종근당. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.3%, MDD -37.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.5%, drawdown -69.2%).
Sharpe leader (same as main): Supertrend — CAGR 11.7%, MDD -42.5%, Sharpe 0.51, 46% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 26.7%p (CAGR 7.3%, MDD -37.8%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=3.8 |
11.7% | -42.5% | 0.51 | 0.27 | 4.0x | 40 | 46% |
| SMA 크로스오버 fast=24, slow=51 |
10.9% | -43.2% | 0.48 | 0.25 | 3.7x | 52 | 44% |
| EMA 크로스오버 fast=27, slow=45 |
9.2% | -39.7% | 0.43 | 0.23 | 3.0x | 38 | 44% |
| Donchian 채널 돌파 entryN=36, exitN=18 |
7.3% | -37.8% | 0.38 | 0.19 | 2.4x | 44 | 30% |
| ADX / DI 방향성 period=23, threshold=16 |
6.7% | -57.1% | 0.36 | 0.12 | 2.3x | 92 | 42% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=14, mult=3.5 |
5.2% | -42.1% | 0.32 | 0.12 | 1.9x | 18 | 18% |
| ROC 모멘텀 n=42, threshold=0.14 |
4.8% | -50.7% | 0.30 | 0.09 | 1.8x | 98 | 16% |
| 볼린저 밴드 돌파 n=49, k=1.4 |
2.9% | -44.8% | 0.24 | 0.06 | 1.4x | 64 | 34% |
| MACD fast=18, slow=43, signal=12 |
-2.0% | -75.3% | 0.08 | -0.03 | 0.8x | 163 | 48% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.2% | -68.7% | 0.07 | -0.03 | 0.8x | 90 | 43% |
| Buy and hold | 2.5% | -69.2% | 0.27 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)