Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한화손해보험 backtest
10 trend-following strategies were compared on the full daily history of 한화손해보험. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.4%, MDD -49.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.2%, drawdown -97.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.4%, MDD -49.4%, Sharpe 0.29, 15% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 48.0%p (CAGR 4.4%, MDD -49.4%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=25 |
4.4% | -49.4% | 0.29 | 0.09 | 3.1x | 50 | 15% |
| 볼린저 밴드 돌파 n=19, k=1.2 |
3.3% | -75.3% | 0.26 | 0.04 | 2.4x | 332 | 33% |
| Supertrend period=25, mult=3.6 |
2.8% | -82.1% | 0.25 | 0.03 | 2.1x | 124 | 38% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=24, mult=1.4 |
2.5% | -83.7% | 0.24 | 0.03 | 1.9x | 152 | 33% |
| Parabolic SAR step=0.015, maxStep=0.26 |
1.7% | -86.4% | 0.23 | 0.02 | 1.6x | 434 | 44% |
| SMA 크로스오버 fast=49, slow=194 |
2.0% | -80.8% | 0.23 | 0.02 | 1.7x | 46 | 45% |
| Donchian 채널 돌파 entryN=35, exitN=60 |
1.1% | -85.3% | 0.23 | 0.01 | 1.3x | 62 | 55% |
| MACD fast=21, slow=52, signal=22 |
-0.2% | -84.8% | 0.19 | -0.00 | 1.0x | 230 | 50% |
| ROC 모멘텀 n=108, threshold=0.06 |
-0.2% | -76.8% | 0.17 | -0.00 | 1.0x | 216 | 37% |
| EMA 크로스오버 fast=26, slow=209 |
-0.2% | -84.3% | 0.16 | -0.00 | 0.9x | 48 | 42% |
| Buy and hold | -4.2% | -97.5% | 0.18 | -0.04 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)