Trend-Following Backtester · Guide · backtest 한국어
equity · KR
쿠쿠홀딩스 backtest
10 trend-following strategies were compared on the full daily history of 쿠쿠홀딩스. 8 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 5.1%, MDD -25.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.1%, drawdown -73.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.1%, MDD -25.8%, Sharpe 0.38, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 48.1%p (CAGR 5.1%, MDD -25.8%, exposure 17%).
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=67, k=3.3 |
5.1% | -25.8% | 0.38 | 0.20 | 1.8x | 16 | 17% |
| ADX / DI 방향성 period=8, threshold=38 |
4.4% | -37.7% | 0.35 | 0.12 | 1.7x | 86 | 16% |
| Supertrend period=24, mult=4.8 |
3.5% | -53.8% | 0.26 | 0.06 | 1.5x | 26 | 50% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=22, mult=4 |
2.4% | -37.8% | 0.23 | 0.06 | 1.3x | 16 | 12% |
| SMA 크로스오버 fast=39, slow=102 |
2.4% | -52.2% | 0.22 | 0.05 | 1.3x | 28 | 38% |
| Donchian 채널 돌파 entryN=63, exitN=18 |
2.2% | -48.8% | 0.21 | 0.04 | 1.3x | 30 | 24% |
| EMA 크로스오버 fast=46, slow=73 |
1.8% | -46.0% | 0.20 | 0.04 | 1.2x | 22 | 38% |
| ROC 모멘텀 n=136, threshold=0.08 |
1.0% | -53.2% | 0.16 | 0.02 | 1.1x | 74 | 34% |
| MACD fast=8, slow=47, signal=7 |
-2.9% | -62.7% | 0.01 | -0.05 | 0.7x | 241 | 50% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-7.6% | -78.7% | -0.18 | -0.10 | 0.4x | 275 | 50% |
| Buy and hold | -2.1% | -73.9% | 0.12 | -0.03 | 0.8x | 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 67-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 67-day middle average