Trend-Following Backtester · Guide · backtest 한국어
equity · KR
HANARO Fn K-반도체 backtest
10 trend-following strategies were compared on the full daily history of HANARO Fn K-반도체. 5 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 38.6%, MDD -20.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 40.0%, drawdown -53.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 44.9%, MDD -25.5%, Sharpe 1.49, 35% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 49.4%, MDD -53.5%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 38.6%, MDD -20.8%, exposure 44%).
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=33, threshold=17 |
44.9% | -25.5% | 1.49 | 1.76 | 6.4x | 10 | 35% |
| MACD fast=22, slow=47, signal=10 |
39.8% | -29.3% | 1.40 | 1.36 | 5.3x | 52 | 53% |
| 볼린저 밴드 돌파 n=26, k=1.5 |
38.6% | -20.8% | 1.37 | 1.85 | 5.1x | 40 | 44% |
| Donchian 채널 돌파 entryN=21, exitN=26 |
44.5% | -30.6% | 1.36 | 1.46 | 6.3x | 20 | 64% |
| EMA 크로스오버 fast=15, slow=25 |
42.7% | -34.5% | 1.34 | 1.24 | 5.9x | 32 | 59% |
| SMA 크로스오버 fast=18, slow=189 |
49.4% | -53.5% | 1.32 | 0.92 | 7.5x | 3 | 53% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=20, mult=1.6 |
38.5% | -25.5% | 1.31 | 1.51 | 5.1x | 30 | 51% |
| Supertrend period=12, mult=3.8 |
34.4% | -25.5% | 1.24 | 1.35 | 4.4x | 28 | 55% |
| ROC 모멘텀 n=87, threshold=-0.04 |
44.7% | -53.5% | 1.20 | 0.83 | 6.3x | 19 | 69% |
| Parabolic SAR step=0.04, maxStep=0.08 |
30.9% | -27.9% | 1.17 | 1.11 | 3.8x | 84 | 58% |
| Buy and hold | 40.0% | -53.5% | 1.05 | 0.75 | 5.4x | 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, 33-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)