Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한화 backtest
10 trend-following strategies were compared on the full daily history of 한화. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.1%, MDD -51.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 10.1%, drawdown -85.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.3%, MDD -52.8%, Sharpe 0.63, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 14.1%, MDD -51.0%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=92, exitN=78 |
17.3% | -52.8% | 0.63 | 0.33 | 69.7x | 28 | 55% |
| SMA 크로스오버 fast=63, slow=186 |
14.1% | -51.0% | 0.55 | 0.28 | 33.5x | 35 | 56% |
| EMA 크로스오버 fast=22, slow=150 |
13.7% | -76.5% | 0.54 | 0.18 | 30.1x | 54 | 54% |
| ROC 모멘텀 n=92, threshold=-0.01 |
9.8% | -82.9% | 0.44 | 0.12 | 11.9x | 276 | 56% |
| MACD fast=15, slow=32, signal=14 |
9.4% | -68.6% | 0.43 | 0.14 | 10.8x | 349 | 51% |
| 볼린저 밴드 돌파 n=25, k=1.8 |
6.1% | -57.8% | 0.35 | 0.11 | 4.8x | 214 | 33% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=23, mult=2.1 |
5.9% | -54.2% | 0.34 | 0.11 | 4.6x | 152 | 24% |
| Supertrend period=12, mult=3.8 |
3.7% | -83.0% | 0.28 | 0.04 | 2.6x | 128 | 53% |
| ADX / DI 방향성 period=31, threshold=24 |
2.3% | -57.3% | 0.21 | 0.04 | 1.8x | 44 | 14% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-2.1% | -80.7% | 0.11 | -0.03 | 0.6x | 468 | 51% |
| Buy and hold | 10.1% | -85.3% | 0.44 | 0.12 | 12.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 92 days
- Sell — Sell when price breaks below the lowest low of the last 78 days