Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Hanwa Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hanwa Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.8%, MDD -48.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -72.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.8%, MDD -48.6%, Sharpe 0.52, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 24.2%p (CAGR 10.8%, MDD -48.6%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=73 |
10.8% | -48.6% | 0.52 | 0.22 | 13.7x | 88 | 58% |
| Donchian 채널 돌파 entryN=19, exitN=45 |
10.5% | -57.0% | 0.49 | 0.18 | 12.9x | 88 | 73% |
| Supertrend period=23, mult=5 |
9.3% | -48.1% | 0.49 | 0.19 | 9.6x | 90 | 51% |
| EMA 크로스오버 fast=24, slow=38 |
8.1% | -44.0% | 0.43 | 0.18 | 7.4x | 116 | 58% |
| 볼린저 밴드 돌파 n=29, k=3.2 |
3.4% | -36.7% | 0.37 | 0.09 | 2.3x | 30 | 8% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=20, mult=3.9 |
3.7% | -29.5% | 0.36 | 0.12 | 2.5x | 48 | 12% |
| ROC 모멘텀 n=60, threshold=0.05 |
4.2% | -52.3% | 0.29 | 0.08 | 2.9x | 336 | 47% |
| Parabolic SAR step=0.02, maxStep=0.1 |
3.4% | -76.5% | 0.26 | 0.04 | 2.3x | 450 | 55% |
| MACD fast=18, slow=43, signal=16 |
2.7% | -77.0% | 0.23 | 0.04 | 2.0x | 310 | 51% |
| ADX / DI 방향성 period=14, threshold=50 |
0.3% | -22.9% | 0.08 | 0.01 | 1.1x | 8 | 1% |
| Buy and hold | 11.7% | -72.8% | 0.49 | 0.16 | 17.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 39-day average price crosses above the 73-day average
- Sell — Sell (to cash) when the 39-day average falls below the 73-day average