Trend-Following Backtester · Guide · backtest 한국어
equity · KR
효성중공업 backtest
10 trend-following strategies were compared on the full daily history of 효성중공업. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 66.8%, MDD -41.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 62.9%, drawdown -86.2%).
Sharpe leader (same as main): Supertrend — CAGR 66.8%, MDD -41.7%, Sharpe 1.42, 52% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 77.7%, MDD -58.8%, exposure 68%.
Return/drawdown alternative: Supertrend — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 66.8%, MDD -41.7%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=24, mult=1.6 |
66.8% | -41.7% | 1.42 | 1.60 | 64.1x | 123 | 52% |
| Donchian 채널 돌파 entryN=38, exitN=17 |
62.6% | -50.8% | 1.36 | 1.23 | 52.1x | 28 | 42% |
| SMA 크로스오버 fast=50, slow=172 |
77.7% | -58.8% | 1.36 | 1.32 | 107.5x | 3 | 68% |
| ROC 모멘텀 n=143, threshold=-0.03 |
74.5% | -58.8% | 1.33 | 1.27 | 92.6x | 23 | 65% |
| EMA 크로스오버 fast=40, slow=149 |
72.0% | -58.8% | 1.30 | 1.22 | 82.5x | 5 | 65% |
| 볼린저 밴드 돌파 n=14, k=2.1 |
41.0% | -47.3% | 1.20 | 0.87 | 16.4x | 74 | 30% |
| MACD fast=10, slow=48, signal=16 |
46.1% | -46.9% | 1.17 | 0.98 | 21.9x | 91 | 48% |
| Parabolic SAR step=0.015, maxStep=0.26 |
48.0% | -41.4% | 1.15 | 1.16 | 24.3x | 133 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=19, mult=2 |
47.8% | -61.3% | 1.14 | 0.78 | 24.0x | 40 | 42% |
| ADX / DI 방향성 period=23, threshold=34 |
31.1% | -25.0% | 1.08 | 1.24 | 9.1x | 8 | 14% |
| Buy and hold | 62.9% | -86.2% | 1.12 | 0.73 | 53.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 24-day volatility, 1.6× band
- Sell — Sell when price drops below the trend line (flips down)