Trend-Following Backtester · Guide · backtest 한국어

equity · KW

Mabanee Company (SAKC) backtest

10 trend-following strategies were compared on the full daily history of Mabanee Company (SAKC). 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.2%, MDD -51.3%).

Data 2001-05-30 ~ 2026-07-30daily bars 6,334 (25.2 years)Costs 0.5%Venue KSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 14.5%, drawdown -99.9%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.3%, MDD -30.1%, Sharpe 0.64, 14% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 11.2%, MDD -51.3%, exposure 62%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.2%p lower than buy and hold, while drawdown improves by 69.8%p (CAGR 11.2%, MDD -51.3%, exposure 62%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=21, atrPeriod=8, mult=3.7
8.3%-30.1%0.640.287.5x5614%
볼린저 밴드 돌파
n=23, k=1.9
7.7%-43.7%0.520.186.5x18430%
Donchian 채널 돌파
entryN=61, exitN=52
11.2%-51.3%0.520.2214.6x5862%
ROC 모멘텀
n=234, threshold=0.08
7.3%-52.6%0.440.145.9x14050%
SMA 크로스오버
fast=33, slow=136
7.7%-55.5%0.440.146.5x5057%
Parabolic SAR
step=0.01, maxStep=0.28
6.2%-55.3%0.390.114.5x21649%
EMA 크로스오버
fast=60, slow=211
7.4%-66.4%0.380.116.1x3170%
MACD
fast=17, slow=56, signal=19
-14.9%-99.9%0.32-0.150.0x21650%
ADX / DI 방향성
period=23, threshold=15
4.0%-47.1%0.300.082.7x23842%
Supertrend
period=5, mult=4.6
-16.3%-99.9%0.27-0.160.0x11457%
Buy and hold14.5%-99.9%0.200.1530.4x1100%
0.1 1x 10x 2002 2006 2010 2014 2018 2022 2026 Donchian 채널 돌파Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -25% -50% -75% -100% 2002 2006 2010 2014 2018 2022 2026 Buy and holdDonchian 채널 돌파Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -30.1% (2003-10-12 → 2006-10-09), recovered after 1,367 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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