Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대오토에버 backtest
10 trend-following strategies were compared on the full daily history of 현대오토에버. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 25.3%, MDD -41.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 21.1%, drawdown -75.6%).
Sharpe leader (same as main): MACD — CAGR 41.7%, MDD -48.1%, Sharpe 1.02, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.6%p higher than buy and hold, while drawdown improves by 27.5%p (CAGR 25.3%, MDD -41.7%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=10, slow=42, signal=19 |
41.7% | -48.1% | 1.02 | 0.87 | 12.9x | 80 | 48% |
| Supertrend period=36, mult=2.2 |
37.5% | -50.1% | 0.99 | 0.75 | 10.4x | 74 | 43% |
| ADX / DI 방향성 period=11, threshold=23 |
36.0% | -43.6% | 0.92 | 0.82 | 9.6x | 92 | 42% |
| Parabolic SAR step=0.005, maxStep=0.22 |
32.7% | -45.6% | 0.88 | 0.72 | 8.0x | 54 | 46% |
| Donchian 채널 돌파 entryN=135, exitN=37 |
32.7% | -53.2% | 0.87 | 0.61 | 8.0x | 6 | 28% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=24, mult=0.7 |
31.0% | -44.5% | 0.83 | 0.70 | 7.3x | 68 | 43% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
25.3% | -41.7% | 0.80 | 0.61 | 5.3x | 8 | 17% |
| ROC 모멘텀 n=149, threshold=0.09 |
25.7% | -66.4% | 0.72 | 0.39 | 5.3x | 45 | 41% |
| SMA 크로스오버 fast=39, slow=171 |
24.0% | -66.4% | 0.68 | 0.36 | 4.9x | 11 | 51% |
| EMA 크로스오버 fast=21, slow=142 |
22.7% | -60.4% | 0.66 | 0.38 | 4.5x | 22 | 53% |
| Buy and hold | 21.1% | -75.6% | 0.62 | 0.28 | 4.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (10/42) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line