Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HD현대일렉트릭 backtest
10 trend-following strategies were compared on the full daily history of HD현대일렉트릭. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 36.9%, MDD -32.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 32.6%, drawdown -93.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 55.8%, MDD -42.9%, Sharpe 1.23, 59% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 23.2%p higher than buy and hold, while drawdown improves by 50.2%p (CAGR 36.9%, MDD -32.8%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=9, slow=184 |
55.8% | -42.9% | 1.23 | 1.30 | 62.0x | 8 | 59% |
| Donchian 채널 돌파 entryN=103, exitN=59 |
52.1% | -43.0% | 1.19 | 1.21 | 49.5x | 6 | 55% |
| SMA 크로스오버 fast=13, slow=179 |
52.1% | -43.0% | 1.18 | 1.21 | 49.7x | 10 | 59% |
| ROC 모멘텀 n=140, threshold=0.13 |
46.5% | -38.4% | 1.13 | 1.21 | 35.0x | 58 | 53% |
| Keltner 채널 돌파 emaPeriod=98, atrPeriod=20, mult=3.2 |
36.9% | -32.8% | 0.99 | 1.12 | 18.6x | 20 | 48% |
| ADX / DI 방향성 period=44, threshold=17 |
24.5% | -44.2% | 0.81 | 0.55 | 7.7x | 16 | 31% |
| Supertrend period=27, mult=4.3 |
25.6% | -78.9% | 0.75 | 0.32 | 8.3x | 36 | 60% |
| MACD fast=23, slow=40, signal=9 |
24.3% | -49.6% | 0.74 | 0.49 | 7.6x | 107 | 51% |
| Parabolic SAR step=0.015, maxStep=0.16 |
20.2% | -60.8% | 0.66 | 0.33 | 5.5x | 157 | 53% |
| 볼린저 밴드 돌파 n=18, k=1.1 |
14.6% | -52.5% | 0.55 | 0.28 | 3.6x | 141 | 46% |
| Buy and hold | 32.6% | -93.1% | 0.78 | 0.35 | 13.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 9-day EMA crosses above the 184-day EMA
- Sell — Sell when the 9-day EMA falls below the 184-day EMA