Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hanmi Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Hanmi Financial Corporation. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.6%, MDD -39.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.2%, drawdown -96.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.6%, MDD -62.5%, Sharpe 0.54, 60% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 3.6%, MDD -39.1%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=31, slow=185 |
11.6% | -62.5% | 0.54 | 0.19 | 35.2x | 39 | 60% |
| Donchian 채널 돌파 entryN=46, exitN=76 |
10.5% | -74.8% | 0.48 | 0.14 | 25.4x | 47 | 68% |
| SMA 크로스오버 fast=26, slow=212 |
9.3% | -72.2% | 0.46 | 0.13 | 17.7x | 47 | 59% |
| ROC 모멘텀 n=109, threshold=-0.09 |
7.6% | -78.8% | 0.39 | 0.10 | 10.7x | 207 | 73% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=16, mult=3.6 |
3.6% | -39.1% | 0.28 | 0.09 | 3.1x | 88 | 22% |
| ADX / DI 방향성 period=38, threshold=18 |
3.3% | -59.7% | 0.26 | 0.06 | 2.9x | 66 | 23% |
| 볼린저 밴드 돌파 n=35, k=2.4 |
3.0% | -54.7% | 0.24 | 0.05 | 2.6x | 146 | 27% |
| Supertrend period=16, mult=5 |
1.0% | -87.8% | 0.19 | 0.01 | 1.4x | 97 | 61% |
| MACD fast=19, slow=45, signal=29 |
-0.5% | -91.4% | 0.14 | -0.01 | 0.9x | 298 | 51% |
| Parabolic SAR step=0.025, maxStep=0.2 |
-5.5% | -92.7% | -0.02 | -0.06 | 0.2x | 720 | 52% |
| Buy and hold | 3.2% | -96.7% | 0.30 | 0.03 | 2.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 31-day EMA crosses above the 185-day EMA
- Sell — Sell when the 31-day EMA falls below the 185-day EMA