Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Gunkul Engineering Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Gunkul Engineering Public Co. Ltd.. 9 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 25.2%, MDD -44.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 16.2%, drawdown -81.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.2%, MDD -44.0%, Sharpe 1.00, 42% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 25.2%, MDD -44.0%, exposure 42%).
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=47, exitN=24 |
25.2% | -44.0% | 1.00 | 0.57 | 36.0x | 40 | 42% |
| EMA 크로스오버 fast=11, slow=29 |
24.7% | -56.4% | 0.94 | 0.44 | 33.7x | 107 | 54% |
| ADX / DI 방향성 period=39, threshold=15 |
21.5% | -47.7% | 0.93 | 0.45 | 22.4x | 49 | 35% |
| SMA 크로스오버 fast=11, slow=64 |
23.3% | -48.5% | 0.91 | 0.48 | 28.4x | 77 | 52% |
| Supertrend period=30, mult=3.4 |
22.0% | -54.2% | 0.88 | 0.41 | 23.8x | 83 | 50% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=9, mult=1.2 |
21.2% | -60.4% | 0.87 | 0.35 | 21.6x | 95 | 45% |
| Parabolic SAR step=0.035, maxStep=0.04 |
20.5% | -50.7% | 0.83 | 0.41 | 19.7x | 151 | 51% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
17.9% | -48.6% | 0.83 | 0.37 | 13.9x | 38 | 30% |
| ROC 모멘텀 n=36, threshold=0.04 |
17.5% | -56.8% | 0.76 | 0.31 | 13.2x | 188 | 41% |
| MACD fast=19, slow=59, signal=19 |
15.7% | -49.4% | 0.70 | 0.32 | 10.2x | 138 | 49% |
| Buy and hold | 16.2% | -81.2% | 0.59 | 0.20 | 10.9x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 24 days