Trend-Following Backtester · Guide · backtest 한국어
equity · KR
신한지주 backtest
10 trend-following strategies were compared on the full daily history of 신한지주. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.4%, drawdown -68.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.1%, MDD -69.3%, Sharpe 0.32, 58% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=93 |
5.1% | -69.3% | 0.32 | 0.07 | 3.7x | 61 | 58% |
| SMA 크로스오버 fast=23, slow=208 |
4.4% | -57.6% | 0.30 | 0.08 | 3.2x | 53 | 56% |
| Supertrend period=5, mult=4.6 |
4.5% | -73.2% | 0.30 | 0.06 | 3.2x | 85 | 58% |
| ADX / DI 방향성 period=38, threshold=17 |
3.8% | -49.0% | 0.28 | 0.08 | 2.7x | 54 | 19% |
| Donchian 채널 돌파 entryN=28, exitN=69 |
3.3% | -76.2% | 0.26 | 0.04 | 2.4x | 69 | 74% |
| ROC 모멘텀 n=80, threshold=-0.02 |
-0.3% | -88.6% | 0.13 | -0.00 | 0.9x | 337 | 62% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=13, mult=3.7 |
-0.8% | -63.6% | 0.04 | -0.01 | 0.8x | 60 | 23% |
| 볼린저 밴드 돌파 n=57, k=1.7 |
-1.7% | -86.2% | 0.04 | -0.02 | 0.6x | 138 | 35% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.3% | -84.0% | -0.03 | -0.05 | 0.3x | 217 | 51% |
| MACD fast=19, slow=51, signal=23 |
-4.5% | -89.2% | -0.03 | -0.05 | 0.3x | 276 | 51% |
| Buy and hold | 6.4% | -68.1% | 0.36 | 0.09 | 5.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 93-day EMA
- Sell — Sell when the 42-day EMA falls below the 93-day EMA