Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대해상 backtest
10 trend-following strategies were compared on the full daily history of 현대해상. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 12.6%, MDD -57.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.1%, drawdown -77.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.6%, MDD -63.5%, Sharpe 0.54, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 13.4%p (CAGR 12.6%, MDD -57.1%, exposure 61%).
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=40, slow=218 |
13.6% | -63.5% | 0.54 | 0.21 | 29.6x | 43 | 59% |
| EMA 크로스오버 fast=34, slow=197 |
12.6% | -57.1% | 0.52 | 0.22 | 23.5x | 43 | 61% |
| Donchian 채널 돌파 entryN=71, exitN=67 |
10.2% | -72.2% | 0.46 | 0.14 | 13.2x | 47 | 55% |
| ADX / DI 방향성 period=39, threshold=18 |
7.4% | -53.4% | 0.43 | 0.14 | 6.7x | 49 | 15% |
| ROC 모멘텀 n=145, threshold=-0.04 |
9.5% | -73.5% | 0.43 | 0.13 | 11.1x | 221 | 66% |
| Supertrend period=3, mult=4.1 |
8.8% | -67.9% | 0.42 | 0.13 | 9.4x | 107 | 59% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=23, mult=2.7 |
5.5% | -48.5% | 0.38 | 0.11 | 4.1x | 71 | 11% |
| MACD fast=31, slow=36, signal=24 |
4.3% | -78.9% | 0.29 | 0.05 | 3.0x | 241 | 50% |
| 볼린저 밴드 돌파 n=32, k=2.3 |
3.7% | -73.5% | 0.27 | 0.05 | 2.7x | 129 | 24% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-5.2% | -97.0% | -0.01 | -0.05 | 0.2x | 467 | 51% |
| Buy and hold | 13.1% | -77.0% | 0.50 | 0.17 | 26.7x | 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 40-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 40-day average falls below the 218-day average