Trend-Following Backtester · Guide · backtest 한국어
equity · KR
기업은행 backtest
10 trend-following strategies were compared on the full daily history of 기업은행. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.7%, MDD -44.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.0%, drawdown -76.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -45.1%, Sharpe 0.47, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 7.7%, MDD -44.5%, exposure 56%).
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=53, slow=165 |
9.4% | -45.1% | 0.47 | 0.21 | 10.8x | 40 | 55% |
| EMA 크로스오버 fast=27, slow=135 |
7.7% | -44.5% | 0.41 | 0.17 | 7.1x | 50 | 56% |
| Supertrend period=28, mult=5 |
5.7% | -57.4% | 0.35 | 0.10 | 4.4x | 74 | 45% |
| Donchian 채널 돌파 entryN=102, exitN=66 |
4.3% | -68.4% | 0.30 | 0.06 | 3.0x | 40 | 46% |
| MACD fast=19, slow=53, signal=18 |
3.6% | -81.4% | 0.27 | 0.04 | 2.5x | 255 | 50% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=15, mult=3 |
2.2% | -25.2% | 0.25 | 0.09 | 1.8x | 28 | 3% |
| ADX / DI 방향성 period=55, threshold=13 |
2.6% | -50.2% | 0.23 | 0.05 | 2.0x | 70 | 25% |
| Parabolic SAR step=0.005, maxStep=0.36 |
1.6% | -62.6% | 0.19 | 0.03 | 1.5x | 202 | 52% |
| ROC 모멘텀 n=139, threshold=0.07 |
1.1% | -62.6% | 0.17 | 0.02 | 1.3x | 248 | 43% |
| 볼린저 밴드 돌파 n=12, k=2.8 |
0.7% | -29.9% | 0.13 | 0.02 | 1.2x | 38 | 4% |
| Buy and hold | 6.0% | -76.2% | 0.35 | 0.08 | 4.7x | 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 53-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 53-day average falls below the 165-day average