Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한일시멘트 backtest
10 trend-following strategies were compared on the full daily history of 한일시멘트. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.5%, MDD -30.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.6%, drawdown -69.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.8%, MDD -35.3%, Sharpe 0.58, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 2.5%, MDD -30.8%, exposure 11%).
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 |
12.8% | -35.3% | 0.58 | 0.36 | 2.6x | 30 | 48% |
| SMA 크로스오버 fast=33, slow=224 |
10.5% | -46.6% | 0.50 | 0.23 | 2.2x | 10 | 49% |
| ADX / DI 방향성 period=39, threshold=22 |
7.3% | -31.8% | 0.50 | 0.23 | 1.8x | 6 | 18% |
| Donchian 채널 돌파 entryN=74, exitN=67 |
9.2% | -42.7% | 0.46 | 0.22 | 2.0x | 8 | 52% |
| EMA 크로스오버 fast=44, slow=194 |
8.4% | -45.8% | 0.44 | 0.18 | 1.9x | 8 | 43% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
5.8% | -35.6% | 0.39 | 0.16 | 1.6x | 12 | 20% |
| Supertrend period=11, mult=4.7 |
6.2% | -50.4% | 0.36 | 0.12 | 1.6x | 20 | 58% |
| Parabolic SAR step=0.01, maxStep=0.06 |
3.5% | -58.0% | 0.26 | 0.06 | 1.3x | 87 | 48% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=22, mult=3.9 |
2.5% | -30.8% | 0.23 | 0.08 | 1.2x | 10 | 11% |
| MACD fast=22, slow=37, signal=17 |
-6.7% | -66.8% | -0.13 | -0.10 | 0.6x | 81 | 47% |
| Buy and hold | 1.6% | -69.0% | 0.24 | 0.02 | 1.1x | 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