Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HL만도 backtest
10 trend-following strategies were compared on the full daily history of HL만도. 5 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 7.1%, MDD -19.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.0%, drawdown -75.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.0%, MDD -30.8%, Sharpe 0.59, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 7.1%, MDD -19.9%, exposure 9%).
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=55, atrPeriod=11, mult=3.6 |
11.0% | -30.8% | 0.59 | 0.36 | 3.4x | 16 | 17% |
| 볼린저 밴드 돌파 n=33, k=3.3 |
7.1% | -19.9% | 0.48 | 0.36 | 2.3x | 12 | 9% |
| ADX / DI 방향성 period=33, threshold=19 |
5.7% | -36.6% | 0.37 | 0.16 | 1.9x | 26 | 16% |
| SMA 크로스오버 fast=56, slow=136 |
3.4% | -65.2% | 0.27 | 0.05 | 1.5x | 28 | 46% |
| ROC 모멘텀 n=111, threshold=0.13 |
1.8% | -64.8% | 0.20 | 0.03 | 1.2x | 78 | 29% |
| Donchian 채널 돌파 entryN=30, exitN=72 |
0.4% | -73.4% | 0.20 | 0.01 | 1.0x | 28 | 64% |
| EMA 크로스오버 fast=41, slow=210 |
-0.2% | -71.1% | 0.16 | -0.00 | 1.0x | 22 | 46% |
| Supertrend period=14, mult=4.3 |
-1.2% | -68.9% | 0.14 | -0.02 | 0.9x | 48 | 54% |
| MACD fast=19, slow=42, signal=17 |
-3.3% | -66.8% | 0.06 | -0.05 | 0.7x | 134 | 49% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-7.5% | -67.2% | -0.10 | -0.11 | 0.4x | 226 | 48% |
| Buy and hold | 1.0% | -75.0% | 0.25 | 0.01 | 1.1x | 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 55-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 55-day average