Trend-Following Backtester · Guide · backtest 한국어
equity · KR
미래에셋생명 backtest
10 trend-following strategies were compared on the full daily history of 미래에셋생명. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 11.8%, MDD -43.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.0%, drawdown -83.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.6%, MDD -59.1%, Sharpe 0.57, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 11.8%, MDD -43.6%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=9 |
15.6% | -59.1% | 0.57 | 0.26 | 5.7x | 87 | 52% |
| Donchian 채널 돌파 entryN=25, exitN=67 |
14.8% | -59.1% | 0.55 | 0.25 | 5.2x | 27 | 65% |
| Supertrend period=24, mult=4.5 |
12.6% | -54.5% | 0.51 | 0.23 | 4.2x | 33 | 61% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
11.8% | -43.6% | 0.49 | 0.27 | 3.8x | 121 | 40% |
| SMA 크로스오버 fast=9, slow=99 |
11.2% | -53.3% | 0.47 | 0.21 | 3.6x | 45 | 50% |
| ROC 모멘텀 n=19, threshold=-0.01 |
10.6% | -53.6% | 0.46 | 0.20 | 3.3x | 233 | 55% |
| EMA 크로스오버 fast=33, slow=54 |
10.5% | -56.0% | 0.45 | 0.19 | 3.3x | 35 | 51% |
| Parabolic SAR step=0.01, maxStep=0.3 |
10.0% | -45.3% | 0.45 | 0.22 | 3.1x | 137 | 46% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=19, mult=2 |
7.7% | -44.5% | 0.39 | 0.17 | 2.4x | 49 | 33% |
| MACD fast=21, slow=71, signal=23 |
4.7% | -51.1% | 0.30 | 0.09 | 1.7x | 95 | 49% |
| Buy and hold | 8.0% | -83.0% | 0.40 | 0.10 | 2.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 9
- Sell — Sell when direction flips or the trend weakens (ADX < 9)