Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HD현대에너지솔루션 backtest
10 trend-following strategies were compared on the full daily history of HD현대에너지솔루션. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 55.0%, MDD -57.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 36.3%, drawdown -77.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 55.0%, MDD -57.4%, Sharpe 1.03, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 18.7%p higher than buy and hold, while drawdown improves by 20.4%p (CAGR 55.0%, MDD -57.4%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=100 |
55.0% | -57.4% | 1.03 | 0.96 | 19.5x | 14 | 51% |
| EMA 크로스오버 fast=36, slow=84 |
44.2% | -67.6% | 0.91 | 0.65 | 12.0x | 12 | 48% |
| ADX / DI 방향성 period=43, threshold=12 |
46.6% | -67.7% | 0.90 | 0.69 | 13.4x | 15 | 61% |
| ROC 모멘텀 n=118, threshold=0.1 |
39.4% | -63.8% | 0.85 | 0.62 | 9.5x | 39 | 44% |
| Supertrend period=15, mult=4.9 |
33.5% | -75.0% | 0.77 | 0.45 | 7.1x | 18 | 55% |
| Donchian 채널 돌파 entryN=52, exitN=68 |
30.2% | -74.0% | 0.73 | 0.41 | 6.0x | 12 | 61% |
| Parabolic SAR step=0.04, maxStep=0.18 |
18.5% | -68.4% | 0.58 | 0.27 | 3.2x | 188 | 47% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=10, mult=3.2 |
12.9% | -54.7% | 0.49 | 0.23 | 2.3x | 20 | 15% |
| MACD fast=10, slow=33, signal=16 |
6.3% | -75.8% | 0.39 | 0.08 | 1.5x | 101 | 49% |
| 볼린저 밴드 돌파 n=42, k=1.6 |
2.8% | -77.0% | 0.30 | 0.04 | 1.2x | 46 | 30% |
| Buy and hold | 36.3% | -77.8% | 0.78 | 0.47 | 8.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 20-day average price crosses above the 100-day average
- Sell — Sell (to cash) when the 20-day average falls below the 100-day average