Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한샘 backtest
10 trend-following strategies were compared on the full daily history of 한샘. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.6%, MDD -53.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.8%, drawdown -91.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.2%, MDD -67.3%, Sharpe 0.54, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 24.2%p (CAGR 9.6%, MDD -53.3%, exposure 58%).
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=23, slow=50 |
12.2% | -67.3% | 0.54 | 0.18 | 16.1x | 111 | 52% |
| EMA 크로스오버 fast=19, slow=26 |
10.2% | -85.5% | 0.48 | 0.12 | 10.6x | 133 | 52% |
| Supertrend period=10, mult=3.4 |
10.6% | -79.4% | 0.47 | 0.13 | 11.4x | 103 | 56% |
| Donchian 채널 돌파 entryN=45, exitN=71 |
9.6% | -53.3% | 0.45 | 0.18 | 9.1x | 43 | 58% |
| ADX / DI 방향성 period=36, threshold=27 |
4.9% | -36.2% | 0.43 | 0.13 | 3.2x | 20 | 8% |
| 볼린저 밴드 돌파 n=52, k=1.9 |
7.1% | -57.8% | 0.41 | 0.12 | 5.2x | 93 | 32% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=21, mult=3.1 |
6.6% | -79.6% | 0.39 | 0.08 | 4.7x | 58 | 30% |
| ROC 모멘텀 n=67, threshold=0.08 |
5.1% | -70.0% | 0.32 | 0.07 | 3.3x | 225 | 37% |
| MACD fast=17, slow=58, signal=13 |
0.7% | -78.1% | 0.17 | 0.01 | 1.2x | 277 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-0.6% | -74.6% | 0.13 | -0.01 | 0.9x | 395 | 48% |
| Buy and hold | 6.8% | -91.5% | 0.37 | 0.07 | 4.9x | 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 23-day average price crosses above the 50-day average
- Sell — Sell (to cash) when the 23-day average falls below the 50-day average