Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Alinma Bank backtest
10 trend-following strategies were compared on the full daily history of Alinma Bank. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.2%, drawdown -61.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.3%, MDD -68.1%, Sharpe 0.54, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
CAGR reference leader: SMA 크로스오버 — CAGR 8.5%, MDD -55.0%, exposure 60%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=6, threshold=-0.1 |
5.3% | -68.1% | 0.54 | 0.08 | 2.3x | 77 | 98% |
| Donchian 채널 돌파 entryN=36, exitN=80 |
4.6% | -60.9% | 0.53 | 0.08 | 2.1x | 28 | 74% |
| EMA 크로스오버 fast=40, slow=216 |
7.3% | -56.1% | 0.51 | 0.13 | 3.2x | 21 | 62% |
| SMA 크로스오버 fast=48, slow=215 |
8.5% | -55.0% | 0.50 | 0.16 | 3.8x | 19 | 60% |
| ADX / DI 방향성 period=37, threshold=26 |
1.7% | -18.1% | 0.27 | 0.09 | 1.3x | 14 | 9% |
| MACD fast=13, slow=28, signal=6 |
-37.1% | -100.0% | -0.09 | -0.37 | 0.0x | 332 | 49% |
| Supertrend period=16, mult=5 |
-37.1% | -100.0% | -0.12 | -0.37 | 0.0x | 70 | 49% |
| 볼린저 밴드 돌파 n=11, k=1.1 |
-46.3% | -100.0% | -0.38 | -0.46 | 0.0x | 394 | 40% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=5, mult=2.5 |
-33.8% | -100.0% | -0.48 | -0.34 | 0.0x | 84 | 36% |
| Parabolic SAR step=0.045, maxStep=0.26 |
-49.2% | -100.0% | -0.49 | -0.49 | 0.0x | 472 | 51% |
| Buy and hold | 8.2% | -61.5% | 0.56 | 0.13 | 3.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 6-day return is greater than -10%
- Sell — Sell when the 6-day return drops to -10% or below