Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한화시스템 backtest
10 trend-following strategies were compared on the full daily history of 한화시스템. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 39.6%, MDD -52.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 34.2%, drawdown -66.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 39.6%, MDD -52.8%, Sharpe 0.89, 80% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 13.9%p (CAGR 39.6%, MDD -52.8%, exposure 80%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=71 |
39.6% | -52.8% | 0.89 | 0.75 | 9.6x | 13 | 80% |
| EMA 크로스오버 fast=39, slow=149 |
37.6% | -55.1% | 0.88 | 0.68 | 8.8x | 6 | 64% |
| Supertrend period=7, mult=4.6 |
35.9% | -57.4% | 0.85 | 0.63 | 8.1x | 18 | 73% |
| SMA 크로스오버 fast=14, slow=229 |
35.1% | -55.1% | 0.85 | 0.64 | 7.7x | 8 | 61% |
| ADX / DI 방향성 period=32, threshold=14 |
31.3% | -51.2% | 0.79 | 0.61 | 6.4x | 34 | 67% |
| ROC 모멘텀 n=87, threshold=0.13 |
28.6% | -44.3% | 0.77 | 0.65 | 5.5x | 58 | 42% |
| MACD fast=13, slow=54, signal=18 |
25.7% | -47.1% | 0.73 | 0.55 | 4.7x | 71 | 46% |
| 볼린저 밴드 돌파 n=26, k=1 |
20.6% | -46.3% | 0.64 | 0.45 | 3.6x | 73 | 42% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=1.1 |
20.5% | -47.8% | 0.63 | 0.43 | 3.6x | 52 | 47% |
| Parabolic SAR step=0.01, maxStep=0.24 |
19.7% | -51.8% | 0.62 | 0.38 | 3.4x | 83 | 47% |
| Buy and hold | 34.2% | -66.7% | 0.79 | 0.51 | 7.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 16 days
- Sell — Sell when price breaks below the lowest low of the last 71 days