Trend-Following Backtester · Guide · backtest 한국어
equity · KR
하림지주 backtest
10 trend-following strategies were compared on the full daily history of 하림지주. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.9%, MDD -44.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.3%, drawdown -80.9%).
Sharpe leader (same as main): Supertrend — CAGR 6.5%, MDD -48.5%, Sharpe 0.32, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 32.4%p (CAGR 5.9%, MDD -44.3%, exposure 79%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=2.3 |
6.5% | -48.5% | 0.32 | 0.13 | 5.3x | 66 | 79% |
| Donchian 채널 돌파 entryN=25, exitN=15 |
5.9% | -44.3% | 0.31 | 0.13 | 4.6x | 38 | 79% |
| EMA 크로스오버 fast=32, slow=42 |
4.9% | -58.8% | 0.27 | 0.08 | 3.5x | 26 | 80% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=27, mult=3.5 |
4.9% | -50.0% | 0.27 | 0.10 | 3.6x | 16 | 72% |
| SMA 크로스오버 fast=15, slow=70 |
3.2% | -55.0% | 0.26 | 0.06 | 2.3x | 28 | 14% |
| 볼린저 밴드 돌파 n=51, k=2.6 |
3.0% | -49.2% | 0.25 | 0.06 | 2.2x | 22 | 8% |
| ROC 모멘텀 n=65, threshold=-0.01 |
3.4% | -62.9% | 0.23 | 0.05 | 2.4x | 84 | 81% |
| Parabolic SAR step=0.025, maxStep=0.06 |
3.2% | -50.9% | 0.22 | 0.06 | 2.3x | 126 | 81% |
| ADX / DI 방향성 period=9, threshold=28 |
1.1% | -64.8% | 0.15 | 0.02 | 1.4x | 120 | 10% |
| MACD fast=11, slow=55, signal=11 |
-0.0% | -58.8% | 0.09 | -0.00 | 1.0x | 138 | 17% |
| Buy and hold | 0.3% | -80.9% | 0.15 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 2.3× band
- Sell — Sell when price drops below the trend line (flips down)