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 5.8%, MDD -45.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.0%, drawdown -94.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.4%, MDD -50.3%, Sharpe 0.61, 13% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.5%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 5.8%, MDD -45.4%, exposure 13%).
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=5 |
13.4% | -50.3% | 0.61 | 0.27 | 28.4x | 102 | 13% |
| Supertrend period=8, mult=2.9 |
9.4% | -68.9% | 0.42 | 0.14 | 11.0x | 188 | 48% |
| MACD fast=19, slow=51, signal=17 |
8.2% | -79.7% | 0.39 | 0.10 | 8.1x | 272 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
7.1% | -71.8% | 0.37 | 0.10 | 6.2x | 194 | 45% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=24, mult=2 |
6.5% | -60.8% | 0.35 | 0.11 | 5.3x | 140 | 26% |
| 볼린저 밴드 돌파 n=29, k=2.4 |
6.3% | -57.6% | 0.35 | 0.11 | 5.1x | 130 | 23% |
| ADX / DI 방향성 period=28, threshold=24 |
5.8% | -45.4% | 0.35 | 0.13 | 4.4x | 44 | 13% |
| ROC 모멘텀 n=101, threshold=-0.04 |
5.8% | -74.8% | 0.34 | 0.08 | 4.5x | 204 | 51% |
| SMA 크로스오버 fast=49, slow=160 |
3.4% | -70.7% | 0.27 | 0.05 | 2.4x | 44 | 45% |
| EMA 크로스오버 fast=37, slow=144 |
3.2% | -71.6% | 0.27 | 0.05 | 2.3x | 58 | 41% |
| Buy and hold | -2.0% | -94.9% | 0.23 | -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 5 days