Trend-Following Backtester · Guide · backtest 한국어
equity · KR
코리아써키트 backtest
10 trend-following strategies were compared on the full daily history of 코리아써키트. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.5%, MDD -33.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.7%, drawdown -85.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.0%, MDD -34.6%, Sharpe 0.65, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 19.7%, MDD -66.8%, exposure 63%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 51.2%p (CAGR 7.5%, MDD -33.4%, exposure 6%).
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=28, atrPeriod=10, mult=3.4 |
13.0% | -34.6% | 0.65 | 0.37 | 25.6x | 48 | 12% |
| SMA 크로스오버 fast=14, slow=87 |
19.4% | -60.8% | 0.64 | 0.32 | 110.6x | 84 | 49% |
| EMA 크로스오버 fast=18, slow=41 |
19.4% | -66.4% | 0.64 | 0.29 | 110.1x | 122 | 49% |
| Donchian 채널 돌파 entryN=37, exitN=90 |
19.7% | -66.8% | 0.63 | 0.29 | 119.2x | 40 | 63% |
| 볼린저 밴드 돌파 n=43, k=3.2 |
13.7% | -48.2% | 0.62 | 0.28 | 30.3x | 56 | 17% |
| Parabolic SAR step=0.02, maxStep=0.02 |
17.5% | -71.2% | 0.61 | 0.25 | 72.1x | 138 | 46% |
| ROC 모멘텀 n=54, threshold=0.04 |
17.1% | -62.4% | 0.60 | 0.27 | 66.5x | 294 | 43% |
| Supertrend period=12, mult=4.8 |
16.7% | -72.5% | 0.58 | 0.23 | 60.7x | 68 | 55% |
| ADX / DI 방향성 period=16, threshold=39 |
7.5% | -33.4% | 0.49 | 0.22 | 6.8x | 40 | 6% |
| MACD fast=20, slow=41, signal=17 |
3.3% | -91.1% | 0.28 | 0.04 | 2.4x | 284 | 53% |
| Buy and hold | 5.7% | -85.9% | 0.37 | 0.07 | 4.3x | 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 28-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 28-day average