Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한일시멘트 backtest
10 trend-following strategies were compared on the full daily history of 한일시멘트. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.2%, MDD -31.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.2%, drawdown -69.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.7%, MDD -35.3%, Sharpe 0.57, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 7.2%, MDD -31.8%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=198, threshold=0.02 |
12.7% | -35.3% | 0.57 | 0.36 | 2.6x | 30 | 47% |
| SMA 크로스오버 fast=33, slow=224 |
10.4% | -46.6% | 0.50 | 0.22 | 2.2x | 10 | 49% |
| ADX / DI 방향성 period=39, threshold=22 |
7.2% | -31.8% | 0.50 | 0.23 | 1.8x | 6 | 18% |
| Donchian 채널 돌파 entryN=74, exitN=67 |
9.1% | -42.7% | 0.45 | 0.21 | 2.0x | 9 | 51% |
| EMA 크로스오버 fast=44, slow=194 |
8.4% | -45.8% | 0.43 | 0.18 | 1.9x | 8 | 43% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
6.3% | -35.6% | 0.42 | 0.18 | 1.6x | 13 | 20% |
| Supertrend period=11, mult=4.7 |
6.7% | -50.4% | 0.37 | 0.13 | 1.7x | 21 | 58% |
| Parabolic SAR step=0.01, maxStep=0.06 |
6.0% | -58.0% | 0.35 | 0.10 | 1.6x | 87 | 48% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=22, mult=3.9 |
2.4% | -30.8% | 0.23 | 0.08 | 1.2x | 10 | 11% |
| MACD fast=22, slow=37, signal=17 |
-4.3% | -66.8% | -0.03 | -0.06 | 0.7x | 81 | 48% |
| Buy and hold | 4.2% | -69.0% | 0.30 | 0.06 | 1.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 198-day return is greater than 2%
- Sell — Sell when the 198-day return drops to 2% or below