Trend-Following Backtester · Guide · backtest 한국어
equity · KR
두산퓨얼셀 backtest
10 trend-following strategies were compared on the full daily history of 두산퓨얼셀. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 34.9%, MDD -37.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 36.1%, drawdown -81.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 34.9%, MDD -37.0%, Sharpe 0.90, 24% exposure.
CAGR reference leader: Supertrend — CAGR 40.7%, MDD -69.8%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 44.4%p (CAGR 34.9%, MDD -37.0%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=119, exitN=27 |
34.9% | -37.0% | 0.90 | 0.94 | 7.8x | 8 | 24% |
| Supertrend period=11, mult=3.6 |
40.7% | -69.8% | 0.89 | 0.58 | 10.4x | 33 | 57% |
| MACD fast=14, slow=54, signal=12 |
37.0% | -64.1% | 0.89 | 0.58 | 8.7x | 89 | 47% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=29, mult=3.9 |
30.3% | -57.1% | 0.86 | 0.53 | 6.2x | 12 | 18% |
| EMA 크로스오버 fast=28, slow=132 |
35.6% | -64.3% | 0.83 | 0.55 | 8.1x | 12 | 42% |
| 볼린저 밴드 돌파 n=54, k=2.3 |
30.4% | -46.8% | 0.83 | 0.65 | 6.2x | 14 | 21% |
| SMA 크로스오버 fast=17, slow=130 |
33.3% | -71.5% | 0.80 | 0.47 | 7.2x | 22 | 44% |
| ADX / DI 방향성 period=10, threshold=19 |
31.5% | -71.6% | 0.78 | 0.44 | 6.6x | 119 | 47% |
| ROC 모멘텀 n=137, threshold=0 |
25.5% | -80.2% | 0.69 | 0.32 | 4.8x | 45 | 44% |
| Parabolic SAR step=0.02, maxStep=0.36 |
1.0% | -87.4% | 0.27 | 0.01 | 1.1x | 143 | 50% |
| Buy and hold | 36.1% | -81.4% | 0.79 | 0.44 | 8.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 119 days
- Sell — Sell when price breaks below the lowest low of the last 27 days