Trend-Following Backtester · Guide · backtest 한국어
equity · KR
iM금융지주 backtest
10 trend-following strategies were compared on the full daily history of iM금융지주. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.7%, MDD -22.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.9%, drawdown -80.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.8%, MDD -30.9%, Sharpe 0.39, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 1.7%, MDD -22.2%, exposure 5%).
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=28, slow=215 |
5.8% | -30.9% | 0.39 | 0.19 | 2.4x | 19 | 44% |
| SMA 크로스오버 fast=50, slow=135 |
5.8% | -50.0% | 0.38 | 0.12 | 2.4x | 28 | 50% |
| Donchian 채널 돌파 entryN=81, exitN=65 |
3.8% | -49.5% | 0.29 | 0.08 | 1.8x | 20 | 48% |
| ROC 모멘텀 n=142, threshold=0.11 |
2.9% | -50.1% | 0.26 | 0.06 | 1.5x | 81 | 30% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=21, mult=2.3 |
1.7% | -22.2% | 0.25 | 0.07 | 1.3x | 34 | 5% |
| ADX / DI 방향성 period=28, threshold=37 |
0.8% | -13.7% | 0.23 | 0.06 | 1.1x | 2 | 1% |
| Supertrend period=28, mult=4.5 |
2.0% | -48.7% | 0.20 | 0.04 | 1.3x | 48 | 40% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
0.4% | -33.7% | 0.09 | 0.01 | 1.1x | 32 | 14% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-5.7% | -77.4% | -0.21 | -0.07 | 0.4x | 251 | 48% |
| MACD fast=6, slow=58, signal=19 |
-6.5% | -81.9% | -0.25 | -0.08 | 0.4x | 261 | 50% |
| Buy and hold | 0.9% | -80.1% | 0.18 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 28-day EMA crosses above the 215-day EMA
- Sell — Sell when the 28-day EMA falls below the 215-day EMA