Trend-Following Backtester · Guide · backtest 한국어
equity · KR
하나마이크론 backtest
10 trend-following strategies were compared on the full daily history of 하나마이크론. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.7%, MDD -54.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.3%, drawdown -87.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -88.0%, Sharpe 0.57, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by -0.9%p (CAGR 2.7%, MDD -54.0%, exposure 21%).
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=56, slow=122 |
14.7% | -88.0% | 0.57 | 0.17 | 12.7x | 35 | 49% |
| ROC 모멘텀 n=91, threshold=0.01 |
7.9% | -88.2% | 0.44 | 0.09 | 4.1x | 152 | 50% |
| Donchian 채널 돌파 entryN=105, exitN=78 |
7.1% | -89.1% | 0.42 | 0.08 | 3.6x | 24 | 45% |
| ADX / DI 방향성 period=37, threshold=11 |
6.4% | -84.5% | 0.41 | 0.08 | 3.2x | 112 | 43% |
| EMA 크로스오버 fast=51, slow=121 |
4.7% | -93.9% | 0.38 | 0.05 | 2.4x | 27 | 44% |
| MACD fast=17, slow=23, signal=13 |
-0.7% | -86.5% | 0.25 | -0.01 | 0.9x | 260 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=11, mult=3.5 |
2.7% | -54.0% | 0.23 | 0.05 | 1.6x | 44 | 21% |
| 볼린저 밴드 돌파 n=58, k=1.5 |
-1.1% | -83.5% | 0.23 | -0.01 | 0.8x | 94 | 36% |
| Supertrend period=21, mult=2.7 |
-1.5% | -88.6% | 0.23 | -0.02 | 0.7x | 138 | 46% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-3.4% | -90.3% | 0.18 | -0.04 | 0.5x | 232 | 46% |
| Buy and hold | 3.3% | -87.2% | 0.39 | 0.04 | 1.8x | 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 56-day average price crosses above the 122-day average
- Sell — Sell (to cash) when the 56-day average falls below the 122-day average