Trend-Following Backtester · Guide · backtest 한국어
equity · KR
동양생명 backtest
10 trend-following strategies were compared on the full daily history of 동양생명. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.2%, MDD -11.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.1%, drawdown -90.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -41.3%, Sharpe 0.37, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 48.8%p (CAGR 1.2%, MDD -11.4%, exposure 1%).
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=63, slow=166 |
6.2% | -41.3% | 0.37 | 0.15 | 2.8x | 19 | 43% |
| EMA 크로스오버 fast=55, slow=181 |
3.3% | -41.3% | 0.26 | 0.08 | 1.7x | 17 | 40% |
| 볼린저 밴드 돌파 n=12, k=3.2 |
1.2% | -11.4% | 0.24 | 0.11 | 1.2x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=12, mult=4 |
1.5% | -15.2% | 0.23 | 0.10 | 1.3x | 10 | 3% |
| Donchian 채널 돌파 entryN=53, exitN=59 |
-0.6% | -54.0% | 0.11 | -0.01 | 0.9x | 31 | 50% |
| ROC 모멘텀 n=99, threshold=-0.03 |
-1.3% | -61.4% | 0.09 | -0.02 | 0.8x | 161 | 50% |
| MACD fast=15, slow=25, signal=10 |
-1.1% | -63.8% | 0.08 | -0.02 | 0.8x | 253 | 50% |
| ADX / DI 방향성 period=27, threshold=24 |
-0.8% | -60.9% | 0.04 | -0.01 | 0.9x | 48 | 16% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.9% | -70.9% | 0.01 | -0.04 | 0.6x | 117 | 43% |
| Supertrend period=9, mult=2 |
-3.7% | -76.2% | -0.01 | -0.05 | 0.5x | 173 | 49% |
| Buy and hold | -3.1% | -90.1% | 0.09 | -0.03 | 0.6x | 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 63-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 63-day average falls below the 166-day average