Trend-Following Backtester · Guide · backtest 한국어
equity · KR
우리금융지주 backtest
10 trend-following strategies were compared on the full daily history of 우리금융지주. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.8%, MDD -30.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.3%, drawdown -56.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.8%, MDD -30.5%, Sharpe 0.89, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 18.8%, MDD -30.5%, exposure 60%).
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=7, slow=256 |
18.8% | -30.5% | 0.89 | 0.62 | 3.6x | 3 | 60% |
| EMA 크로스오버 fast=110, slow=201 |
17.5% | -32.1% | 0.85 | 0.55 | 3.3x | 3 | 55% |
| ROC 모멘텀 n=140, threshold=0.04 |
17.7% | -30.5% | 0.85 | 0.58 | 3.4x | 41 | 60% |
| Donchian 채널 돌파 entryN=79, exitN=104 |
17.1% | -34.1% | 0.80 | 0.50 | 3.2x | 5 | 64% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=20, mult=2.2 |
5.3% | -17.9% | 0.57 | 0.30 | 1.5x | 26 | 9% |
| Supertrend period=26, mult=2.2 |
5.6% | -39.2% | 0.37 | 0.14 | 1.5x | 81 | 58% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
2.6% | -39.9% | 0.23 | 0.06 | 1.2x | 49 | 40% |
| MACD fast=19, slow=40, signal=15 |
2.4% | -33.6% | 0.22 | 0.07 | 1.2x | 89 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.1% | -44.4% | 0.21 | 0.05 | 1.2x | 57 | 51% |
| ADX / DI 방향성 period=29, threshold=26 |
1.0% | -22.2% | 0.16 | 0.05 | 1.1x | 8 | 4% |
| Buy and hold | 11.3% | -56.8% | 0.51 | 0.20 | 2.2x | 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 7-day average price crosses above the 256-day average
- Sell — Sell (to cash) when the 7-day average falls below the 256-day average