Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HD현대중공업 backtest
10 trend-following strategies were compared on the full daily history of HD현대중공업. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 30.8%, drawdown -43.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 29.1%, MDD -41.7%, Sharpe 0.84, 60% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=62, slow=200 |
29.1% | -41.7% | 0.84 | 0.70 | 3.6x | 6 | 60% |
| ROC 모멘텀 n=139, threshold=-0.02 |
27.5% | -36.3% | 0.80 | 0.76 | 3.4x | 20 | 67% |
| EMA 크로스오버 fast=43, slow=57 |
26.3% | -42.7% | 0.79 | 0.62 | 3.2x | 10 | 65% |
| Donchian 채널 돌파 entryN=22, exitN=48 |
22.5% | -40.9% | 0.71 | 0.55 | 2.8x | 14 | 69% |
| Supertrend period=15, mult=4.6 |
21.1% | -48.6% | 0.69 | 0.43 | 2.6x | 14 | 63% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
17.2% | -37.3% | 0.65 | 0.46 | 2.2x | 26 | 45% |
| ADX / DI 방향성 period=31, threshold=7 |
17.5% | -37.0% | 0.62 | 0.47 | 2.3x | 62 | 66% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=20, mult=2.4 |
12.5% | -31.3% | 0.54 | 0.40 | 1.8x | 22 | 38% |
| Parabolic SAR step=0.005, maxStep=0.18 |
11.2% | -39.7% | 0.49 | 0.28 | 1.7x | 38 | 50% |
| MACD fast=19, slow=26, signal=16 |
6.2% | -38.0% | 0.35 | 0.16 | 1.4x | 59 | 49% |
| Buy and hold | 30.8% | -43.4% | 0.81 | 0.71 | 3.9x | 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 62-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 62-day average falls below the 200-day average