Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Hana Microelectronics Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Hana Microelectronics Public Co., Ltd.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 16.7%, MDD -47.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.1%, drawdown -84.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.7%, MDD -47.6%, Sharpe 0.70, 38% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.4%, MDD -52.6%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 16.7%, MDD -47.6%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=63, k=1.7 |
16.7% | -47.6% | 0.70 | 0.35 | 179.1x | 101 | 38% |
| Donchian 채널 돌파 entryN=50, exitN=35 |
17.4% | -52.6% | 0.69 | 0.33 | 216.1x | 77 | 45% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=18, mult=2.4 |
14.0% | -54.8% | 0.61 | 0.25 | 80.4x | 111 | 38% |
| SMA 크로스오버 fast=15, slow=72 |
13.4% | -52.4% | 0.56 | 0.26 | 67.7x | 129 | 53% |
| EMA 크로스오버 fast=25, slow=47 |
13.0% | -59.7% | 0.55 | 0.22 | 61.1x | 115 | 51% |
| Supertrend period=16, mult=4.5 |
12.6% | -66.1% | 0.53 | 0.19 | 53.4x | 125 | 59% |
| ROC 모멘텀 n=30, threshold=-0.09 |
11.6% | -75.6% | 0.48 | 0.15 | 40.2x | 365 | 78% |
| Parabolic SAR step=0.005, maxStep=0.36 |
9.1% | -70.1% | 0.44 | 0.13 | 18.9x | 229 | 51% |
| MACD fast=18, slow=73, signal=10 |
8.4% | -56.1% | 0.41 | 0.15 | 15.1x | 389 | 52% |
| ADX / DI 방향성 period=16, threshold=25 |
6.3% | -61.6% | 0.37 | 0.10 | 7.7x | 238 | 25% |
| Buy and hold | 8.1% | -84.4% | 0.40 | 0.10 | 13.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 63-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 63-day middle average