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Hanwha PLUS High Dividend ETF backtest

10 trend-following strategies were compared on the full daily history of Hanwha PLUS High Dividend ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.6%, MDD -31.6%).

Data 2012-08-29 ~ 2026-07-31daily bars 3,386 (13.9 years)Costs 0.5%Venue KRXMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 6.2%, drawdown -55.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -31.6%, Sharpe 0.43, 85% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 23.7%p (CAGR 5.6%, MDD -31.6%, exposure 85%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=12, exitN=67
5.6%-31.6%0.430.182.1x3885%
SMA 크로스오버
fast=33, slow=149
4.4%-28.8%0.390.151.8x2658%
EMA 크로스오버
fast=40, slow=214
4.0%-28.4%0.360.141.7x2157%
Supertrend
period=20, mult=2.2
2.5%-33.1%0.260.071.4x15158%
ROC 모멘텀
n=138, threshold=-0.01
1.6%-47.8%0.190.031.3x11360%
Keltner 채널 돌파
emaPeriod=35, atrPeriod=20, mult=4
1.0%-24.0%0.170.041.1x2812%
볼린저 밴드 돌파
n=52, k=2.9
0.7%-25.7%0.130.031.1x2414%
Parabolic SAR
step=0.02, maxStep=0.12
0.3%-39.3%0.080.011.0x26453%
ADX / DI 방향성
period=18, threshold=33
0.2%-18.0%0.070.011.0x206%
MACD
fast=24, slow=35, signal=19
-1.7%-48.6%-0.08-0.040.8x14852%
Buy and hold6.2%-55.3%0.430.112.3x1100%
1x 2013 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -14% -28% -41% -55% 2013 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -31.6% (2018-01-30 → 2020-05-14), recovered after 1,156 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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