Trend-Following Backtester · Guide · backtest 한국어
equity · KR
NH투자증권 backtest
10 trend-following strategies were compared on the full daily history of NH투자증권. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.5%, MDD -26.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.1%, drawdown -81.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -63.4%, Sharpe 0.35, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 17.7%p (CAGR 3.5%, MDD -26.5%, exposure 6%).
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=208 |
6.2% | -63.4% | 0.35 | 0.10 | 4.9x | 31 | 48% |
| 볼린저 밴드 돌파 n=38, k=3.4 |
3.5% | -26.5% | 0.32 | 0.13 | 2.5x | 20 | 6% |
| Donchian 채널 돌파 entryN=103, exitN=11 |
3.6% | -47.4% | 0.28 | 0.07 | 2.5x | 66 | 15% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=8, mult=4 |
3.3% | -33.4% | 0.28 | 0.10 | 2.3x | 30 | 10% |
| ROC 모멘텀 n=149, threshold=0.04 |
3.5% | -71.5% | 0.26 | 0.05 | 2.5x | 221 | 46% |
| ADX / DI 방향성 period=17, threshold=31 |
1.9% | -38.5% | 0.20 | 0.05 | 1.6x | 58 | 8% |
| EMA 크로스오버 fast=51, slow=160 |
1.5% | -80.8% | 0.20 | 0.02 | 1.5x | 47 | 48% |
| MACD fast=15, slow=55, signal=13 |
-1.8% | -73.3% | 0.10 | -0.03 | 0.6x | 352 | 50% |
| Supertrend period=11, mult=2.2 |
-2.0% | -82.6% | 0.09 | -0.02 | 0.6x | 300 | 48% |
| Parabolic SAR step=0.02, maxStep=0.3 |
-2.6% | -82.7% | 0.07 | -0.03 | 0.5x | 542 | 50% |
| Buy and hold | 1.1% | -81.1% | 0.26 | 0.01 | 1.3x | 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 208-day average
- Sell — Sell (to cash) when the 40-day average falls below the 208-day average