Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한화솔루션 backtest
10 trend-following strategies were compared on the full daily history of 한화솔루션. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 13.6%, MDD -45.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.0%, drawdown -84.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.6%, MDD -45.2%, Sharpe 0.56, 30% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 39.0%p (CAGR 13.6%, MDD -45.2%, exposure 30%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=8, mult=2.8 |
13.6% | -45.2% | 0.56 | 0.30 | 29.9x | 70 | 30% |
| 볼린저 밴드 돌파 n=55, k=2.2 |
10.6% | -50.2% | 0.48 | 0.21 | 14.7x | 82 | 30% |
| ROC 모멘텀 n=89, threshold=0.09 |
10.5% | -61.4% | 0.46 | 0.17 | 14.4x | 240 | 39% |
| SMA 크로스오버 fast=39, slow=190 |
10.6% | -60.1% | 0.46 | 0.18 | 14.7x | 36 | 50% |
| Donchian 채널 돌파 entryN=104, exitN=72 |
10.2% | -54.4% | 0.45 | 0.19 | 13.2x | 32 | 46% |
| MACD fast=24, slow=36, signal=17 |
10.0% | -68.2% | 0.44 | 0.15 | 12.5x | 268 | 50% |
| EMA 크로스오버 fast=29, slow=41 |
9.4% | -68.1% | 0.43 | 0.14 | 11.0x | 106 | 49% |
| Supertrend period=13, mult=5 |
7.8% | -69.0% | 0.39 | 0.11 | 7.4x | 78 | 53% |
| ADX / DI 방향성 period=35, threshold=12 |
5.9% | -71.6% | 0.34 | 0.08 | 4.6x | 206 | 38% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-2.2% | -88.9% | 0.13 | -0.02 | 0.6x | 452 | 49% |
| Buy and hold | 4.0% | -84.2% | 0.35 | 0.05 | 2.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 66-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 66-day average