Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HD건설기계 backtest
10 trend-following strategies were compared on the full daily history of HD건설기계. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.3%, MDD -47.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.3%, drawdown -89.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.4%, MDD -61.5%, Sharpe 0.62, 92% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 12.3%, MDD -47.6%, exposure 34%).
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=5, exitN=110 |
20.4% | -61.5% | 0.62 | 0.33 | 5.6x | 25 | 92% |
| ADX / DI 방향성 period=35, threshold=17 |
12.3% | -47.6% | 0.52 | 0.26 | 2.9x | 24 | 34% |
| EMA 크로스오버 fast=37, slow=91 |
11.8% | -49.6% | 0.48 | 0.24 | 2.8x | 22 | 50% |
| Supertrend period=17, mult=5 |
10.4% | -67.5% | 0.45 | 0.15 | 2.5x | 22 | 63% |
| SMA 크로스오버 fast=17, slow=190 |
10.1% | -51.4% | 0.44 | 0.20 | 2.5x | 19 | 46% |
| ROC 모멘텀 n=145, threshold=0.13 |
8.8% | -57.3% | 0.41 | 0.15 | 2.2x | 61 | 43% |
| 볼린저 밴드 돌파 n=75, k=1.3 |
6.5% | -52.1% | 0.36 | 0.12 | 1.8x | 34 | 40% |
| Parabolic SAR step=0.025, maxStep=0.16 |
4.8% | -56.0% | 0.31 | 0.09 | 1.5x | 197 | 49% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=3.4 |
1.3% | -28.0% | 0.17 | 0.05 | 1.1x | 10 | 4% |
| MACD fast=17, slow=24, signal=12 |
-1.5% | -53.6% | 0.15 | -0.03 | 0.9x | 135 | 49% |
| Buy and hold | 9.3% | -89.5% | 0.44 | 0.10 | 2.3x | 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 5 days
- Sell — Sell when price breaks below the lowest low of the last 110 days