Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한화오션 backtest
10 trend-following strategies were compared on the full daily history of 한화오션. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.3%, MDD -46.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.6%, drawdown -98.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.4%, MDD -58.7%, Sharpe 0.46, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 5.3%, MDD -46.1%, exposure 14%).
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=204 |
10.4% | -58.7% | 0.46 | 0.18 | 12.4x | 32 | 51% |
| Donchian 채널 돌파 entryN=31, exitN=70 |
7.7% | -83.8% | 0.40 | 0.09 | 6.6x | 52 | 69% |
| EMA 크로스오버 fast=46, slow=153 |
7.8% | -71.8% | 0.39 | 0.11 | 6.8x | 38 | 49% |
| Supertrend period=18, mult=5 |
7.2% | -79.2% | 0.37 | 0.09 | 5.9x | 70 | 53% |
| 볼린저 밴드 돌파 n=32, k=2.8 |
5.3% | -46.1% | 0.35 | 0.12 | 3.7x | 64 | 14% |
| ROC 모멘텀 n=171, threshold=0.05 |
5.2% | -62.0% | 0.32 | 0.08 | 3.7x | 150 | 49% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=23, mult=1.8 |
2.7% | -62.9% | 0.24 | 0.04 | 2.0x | 162 | 29% |
| ADX / DI 방향성 period=20, threshold=15 |
0.2% | -83.3% | 0.19 | 0.00 | 1.1x | 266 | 41% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-1.0% | -89.5% | 0.17 | -0.01 | 0.8x | 392 | 51% |
| MACD fast=17, slow=37, signal=19 |
-1.7% | -88.0% | 0.14 | -0.02 | 0.6x | 290 | 47% |
| Buy and hold | 3.6% | -98.2% | 0.34 | 0.04 | 2.4x | 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 204-day average
- Sell — Sell (to cash) when the 53-day average falls below the 204-day average