Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coupang, Inc. backtest
10 trend-following strategies were compared on the full daily history of Coupang, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.9%, MDD -9.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.6%, drawdown -81.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.5%, MDD -16.8%, Sharpe 0.34, 12% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 22.1%p higher than buy and hold, while drawdown improves by 64.7%p (CAGR 0.9%, MDD -9.3%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=15, mult=3.5 |
3.5% | -16.8% | 0.34 | 0.21 | 1.2x | 8 | 12% |
| ROC 모멘텀 n=85, threshold=0.03 |
2.8% | -26.0% | 0.23 | 0.11 | 1.2x | 44 | 38% |
| SMA 크로스오버 fast=34, slow=141 |
2.5% | -30.6% | 0.22 | 0.08 | 1.1x | 8 | 41% |
| EMA 크로스오버 fast=26, slow=192 |
2.2% | -25.8% | 0.21 | 0.08 | 1.1x | 6 | 37% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
0.9% | -9.3% | 0.19 | 0.10 | 1.0x | 2 | 3% |
| Donchian 채널 돌파 entryN=55, exitN=76 |
-1.0% | -38.9% | 0.10 | -0.03 | 0.9x | 8 | 44% |
| MACD fast=16, slow=52, signal=15 |
-6.1% | -60.1% | -0.02 | -0.10 | 0.7x | 56 | 45% |
| ADX / DI 방향성 period=27, threshold=29 |
-0.3% | -9.3% | -0.05 | -0.04 | 1.0x | 2 | 1% |
| Supertrend period=10, mult=2 |
-10.5% | -69.2% | -0.16 | -0.15 | 0.6x | 66 | 45% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-11.3% | -50.4% | -0.18 | -0.22 | 0.5x | 100 | 48% |
| Buy and hold | -18.6% | -81.5% | -0.13 | -0.23 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 30-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 30-day average