Trend-Following Backtester · Guide · backtest 한국어
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Hanwha PLUS 200 ETF backtest
10 trend-following strategies were compared on the full daily history of Hanwha PLUS 200 ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -41.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.5%, MDD -20.1%, Sharpe 0.65, 9% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.1%, MDD -40.8%, exposure 15%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=46, k=3.1 |
5.5% | -20.1% | 0.65 | 0.27 | 2.2x | 8 | 9% |
| ROC 모멘텀 n=142, threshold=0.2 |
9.1% | -40.8% | 0.63 | 0.22 | 3.6x | 11 | 15% |
| ADX / DI 방향성 period=39, threshold=19 |
6.8% | -25.4% | 0.60 | 0.27 | 2.6x | 26 | 13% |
| Supertrend period=15, mult=4.7 |
7.9% | -26.9% | 0.59 | 0.29 | 3.0x | 56 | 52% |
| Donchian 채널 돌파 entryN=111, exitN=34 |
7.6% | -26.9% | 0.58 | 0.28 | 2.9x | 28 | 33% |
| SMA 크로스오버 fast=55, slow=170 |
9.0% | -40.8% | 0.55 | 0.22 | 3.5x | 21 | 56% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=9, mult=2.3 |
6.5% | -33.3% | 0.53 | 0.19 | 2.5x | 74 | 37% |
| EMA 크로스오버 fast=30, slow=98 |
8.2% | -40.8% | 0.52 | 0.20 | 3.2x | 33 | 57% |
| Parabolic SAR step=0.005, maxStep=0.42 |
3.3% | -34.8% | 0.31 | 0.09 | 1.6x | 129 | 53% |
| MACD fast=20, slow=40, signal=11 |
2.9% | -46.4% | 0.28 | 0.06 | 1.5x | 181 | 51% |
| Buy and hold | 10.8% | -41.3% | 0.58 | 0.26 | 4.5x | 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 46-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 46-day middle average