Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한국금융지주 backtest
10 trend-following strategies were compared on the full daily history of 한국금융지주. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.8%, MDD -46.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.9%, drawdown -76.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.8%, MDD -46.1%, Sharpe 0.64, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 29.9%p (CAGR 16.8%, MDD -46.1%, exposure 57%).
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=52, slow=166 |
16.8% | -46.1% | 0.64 | 0.36 | 38.6x | 31 | 57% |
| 볼린저 밴드 돌파 n=97, k=3.5 |
11.5% | -42.6% | 0.61 | 0.27 | 12.8x | 14 | 19% |
| EMA 크로스오버 fast=33, slow=196 |
15.1% | -67.8% | 0.60 | 0.22 | 27.5x | 31 | 54% |
| ROC 모멘텀 n=141, threshold=-0.03 |
13.4% | -57.1% | 0.55 | 0.23 | 19.1x | 163 | 62% |
| Donchian 채널 돌파 entryN=92, exitN=75 |
12.2% | -68.6% | 0.52 | 0.18 | 15.1x | 30 | 57% |
| ADX / DI 방향성 period=33, threshold=18 |
8.2% | -44.0% | 0.49 | 0.19 | 6.4x | 70 | 19% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=15, mult=3.5 |
4.3% | -34.0% | 0.35 | 0.13 | 2.7x | 36 | 8% |
| Supertrend period=21, mult=5 |
3.4% | -72.8% | 0.26 | 0.05 | 2.2x | 74 | 52% |
| Parabolic SAR step=0.025, maxStep=0.14 |
-0.6% | -78.0% | 0.13 | -0.01 | 0.9x | 530 | 53% |
| MACD fast=18, slow=52, signal=17 |
-2.4% | -89.1% | 0.06 | -0.03 | 0.6x | 276 | 51% |
| Buy and hold | 11.9% | -76.0% | 0.48 | 0.16 | 14.2x | 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 52-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 52-day average falls below the 166-day average