Trend-Following Backtester · Guide · backtest 한국어
equity · KR
코스맥스 backtest
10 trend-following strategies were compared on the full daily history of 코스맥스. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.3%, MDD -50.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -80.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.4%, MDD -59.6%, Sharpe 0.41, 73% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 21.3%p (CAGR 8.3%, MDD -50.2%, exposure 51%).
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=14, exitN=41 |
8.4% | -59.6% | 0.41 | 0.14 | 2.7x | 51 | 73% |
| SMA 크로스오버 fast=37, slow=89 |
8.3% | -50.2% | 0.41 | 0.16 | 2.7x | 36 | 51% |
| EMA 크로스오버 fast=59, slow=80 |
4.7% | -60.0% | 0.31 | 0.08 | 1.8x | 28 | 54% |
| MACD fast=19, slow=37, signal=17 |
4.5% | -74.7% | 0.30 | 0.06 | 1.7x | 137 | 52% |
| Supertrend period=16, mult=2.1 |
4.0% | -75.5% | 0.29 | 0.05 | 1.6x | 125 | 53% |
| ROC 모멘텀 n=149, threshold=-0.02 |
3.8% | -64.6% | 0.29 | 0.06 | 1.6x | 77 | 55% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=20, mult=2.8 |
2.9% | -49.9% | 0.28 | 0.06 | 1.4x | 22 | 8% |
| ADX / DI 방향성 period=29, threshold=22 |
0.9% | -49.1% | 0.15 | 0.02 | 1.1x | 42 | 17% |
| Parabolic SAR step=0.03, maxStep=0.2 |
-1.3% | -75.8% | 0.13 | -0.02 | 0.9x | 313 | 53% |
| 볼린저 밴드 돌파 n=44, k=2.5 |
-0.6% | -67.0% | 0.10 | -0.01 | 0.9x | 44 | 25% |
| Buy and hold | 8.9% | -80.9% | 0.42 | 0.11 | 2.8x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 41 days