Trend-Following Backtester · Guide · backtest 한국어
equity · KR
메리츠금융지주 backtest
10 trend-following strategies were compared on the full daily history of 메리츠금융지주. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.1%, MDD -30.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 23.1%, drawdown -65.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 30.4%, MDD -45.6%, Sharpe 1.14, 62% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 19.9%p (CAGR 23.1%, MDD -30.9%, exposure 35%).
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=6, slow=126 |
30.4% | -45.6% | 1.14 | 0.67 | 56.9x | 41 | 62% |
| SMA 크로스오버 fast=48, slow=165 |
28.7% | -41.8% | 1.13 | 0.69 | 46.4x | 14 | 63% |
| ADX / DI 방향성 period=39, threshold=16 |
23.1% | -30.9% | 1.07 | 0.75 | 23.7x | 52 | 35% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=20, mult=1.2 |
26.2% | -39.6% | 1.06 | 0.66 | 34.5x | 69 | 50% |
| Donchian 채널 돌파 entryN=56, exitN=61 |
26.9% | -47.4% | 1.06 | 0.57 | 37.6x | 19 | 62% |
| ROC 모멘텀 n=139, threshold=0.01 |
25.8% | -43.6% | 1.03 | 0.59 | 33.0x | 71 | 63% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
20.7% | -31.2% | 1.02 | 0.66 | 17.5x | 49 | 40% |
| Supertrend period=22, mult=3.4 |
25.7% | -33.4% | 1.01 | 0.77 | 32.6x | 55 | 59% |
| MACD fast=11, slow=53, signal=14 |
14.7% | -62.3% | 0.67 | 0.24 | 8.0x | 201 | 49% |
| Parabolic SAR step=0.015, maxStep=0.14 |
13.6% | -65.4% | 0.64 | 0.21 | 7.0x | 255 | 52% |
| Buy and hold | 23.1% | -65.5% | 0.77 | 0.35 | 23.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 6-day EMA crosses above the 126-day EMA
- Sell — Sell when the 6-day EMA falls below the 126-day EMA