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 5.0%, MDD -25.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.9%, drawdown -73.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.0%, MDD -25.8%, Sharpe 0.38, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 48.1%p (CAGR 5.0%, 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=3.4 |
5.0% | -25.8% | 0.38 | 0.19 | 1.8x | 16 | 17% |
| ADX / DI 방향성 period=8, threshold=38 |
4.3% | -37.7% | 0.34 | 0.11 | 1.7x | 86 | 16% |
| Supertrend period=24, mult=4.9 |
3.1% | -55.4% | 0.25 | 0.06 | 1.4x | 26 | 50% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=26, mult=3.9 |
2.4% | -38.4% | 0.23 | 0.06 | 1.3x | 16 | 12% |
| ROC 모멘텀 n=91, threshold=0.01 |
2.4% | -44.2% | 0.22 | 0.05 | 1.3x | 96 | 39% |
| SMA 크로스오버 fast=34, slow=106 |
2.1% | -55.9% | 0.21 | 0.04 | 1.3x | 27 | 39% |
| Donchian 채널 돌파 entryN=38, exitN=51 |
1.9% | -52.0% | 0.20 | 0.04 | 1.3x | 27 | 49% |
| EMA 크로스오버 fast=39, slow=83 |
0.9% | -50.0% | 0.16 | 0.02 | 1.1x | 23 | 38% |
| MACD fast=8, slow=22, signal=9 |
-2.9% | -54.6% | 0.01 | -0.05 | 0.7x | 250 | 50% |
| Parabolic SAR step=0.045, maxStep=0.14 |
-4.2% | -67.2% | -0.04 | -0.06 | 0.6x | 355 | 49% |
| Buy and hold | -1.9% | -73.9% | 0.13 | -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 (3.4× volatility)
- Sell — Sell when the close falls back to the 67-day middle average