Trend-Following Backtester · Guide · backtest 한국어
equity · KW
Mobile Telecommunications Company K.S.C.P backtest
10 trend-following strategies were compared on the full daily history of Mobile Telecommunications Company K.S.C.P. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.1%, MDD -26.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.2%, drawdown -95.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.1%, MDD -26.0%, Sharpe 0.49, 18% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 69.8%p (CAGR 5.1%, MDD -26.0%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=3.3 |
5.1% | -26.0% | 0.49 | 0.20 | 3.8x | 35 | 18% |
| Donchian 채널 돌파 entryN=98, exitN=35 |
4.8% | -35.0% | 0.38 | 0.14 | 3.4x | 45 | 31% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=3.7 |
2.5% | -37.9% | 0.28 | 0.07 | 1.9x | 70 | 12% |
| ROC 모멘텀 n=78, threshold=0.12 |
2.3% | -45.3% | 0.23 | 0.05 | 1.8x | 160 | 20% |
| ADX / DI 방향성 period=19, threshold=27 |
1.6% | -45.6% | 0.19 | 0.03 | 1.5x | 108 | 17% |
| SMA 크로스오버 fast=48, slow=175 |
1.5% | -63.2% | 0.19 | 0.02 | 1.5x | 35 | 48% |
| Supertrend period=19, mult=4.9 |
0.9% | -63.7% | 0.16 | 0.01 | 1.3x | 111 | 49% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.2% | -70.5% | 0.10 | -0.00 | 1.0x | 160 | 49% |
| EMA 크로스오버 fast=25, slow=60 |
-1.5% | -85.7% | 0.08 | -0.02 | 0.7x | 91 | 49% |
| MACD fast=23, slow=34, signal=22 |
-4.5% | -84.8% | -0.10 | -0.05 | 0.3x | 250 | 52% |
| Buy and hold | -4.2% | -95.8% | 0.04 | -0.04 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 54-day middle average