Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한화투자증권 backtest
10 trend-following strategies were compared on the full daily history of 한화투자증권. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.7%, MDD -36.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.8%, drawdown -94.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.4%, MDD -41.6%, Sharpe 0.66, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.1%p higher than buy and hold, while drawdown improves by 53.3%p (CAGR 4.7%, MDD -36.9%, exposure 7%).
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=50, exitN=4 |
14.4% | -41.6% | 0.66 | 0.35 | 36.2x | 106 | 12% |
| MACD fast=22, slow=49, signal=16 |
9.4% | -78.3% | 0.42 | 0.12 | 10.9x | 255 | 51% |
| Supertrend period=8, mult=2.9 |
9.2% | -68.9% | 0.42 | 0.13 | 10.5x | 189 | 48% |
| ROC 모멘텀 n=19, threshold=0.02 |
8.0% | -77.8% | 0.39 | 0.10 | 7.8x | 584 | 39% |
| 볼린저 밴드 돌파 n=16, k=2.1 |
7.2% | -80.3% | 0.38 | 0.09 | 6.4x | 216 | 22% |
| Parabolic SAR step=0.005, maxStep=0.32 |
7.1% | -71.8% | 0.37 | 0.10 | 6.3x | 196 | 45% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=23, mult=2.2 |
6.4% | -53.2% | 0.35 | 0.12 | 5.2x | 130 | 25% |
| ADX / DI 방향성 period=21, threshold=34 |
4.7% | -36.9% | 0.32 | 0.13 | 3.4x | 30 | 7% |
| SMA 크로스오버 fast=20, slow=117 |
4.4% | -72.4% | 0.30 | 0.06 | 3.1x | 90 | 44% |
| EMA 크로스오버 fast=35, slow=138 |
4.0% | -65.7% | 0.29 | 0.06 | 2.9x | 58 | 41% |
| Buy and hold | -1.8% | -94.9% | 0.24 | -0.02 | 0.6x | 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 50 days
- Sell — Sell when price breaks below the lowest low of the last 4 days