Trend-Following Backtester · Guide · backtest 한국어
equity · KR
하나머티리얼즈 backtest
10 trend-following strategies were compared on the full daily history of 하나머티리얼즈. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 31.6%, MDD -38.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 22.1%, drawdown -66.9%).
Sharpe leader (same as main): Supertrend — CAGR 31.6%, MDD -38.4%, Sharpe 0.83, 70% exposure.
Return/drawdown alternative: Supertrend — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 28.5%p (CAGR 31.6%, MDD -38.4%, exposure 70%).
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=5, mult=4.7 |
31.6% | -38.4% | 0.83 | 0.82 | 13.0x | 20 | 70% |
| Donchian 채널 돌파 entryN=16, exitN=65 |
23.2% | -50.4% | 0.67 | 0.46 | 7.0x | 23 | 79% |
| EMA 크로스오버 fast=27, slow=28 |
17.8% | -63.2% | 0.60 | 0.28 | 4.6x | 44 | 61% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=1.6 |
10.6% | -34.5% | 0.52 | 0.31 | 2.6x | 78 | 23% |
| ADX / DI 방향성 period=33, threshold=9 |
10.9% | -62.3% | 0.46 | 0.17 | 2.6x | 98 | 65% |
| MACD fast=14, slow=27, signal=13 |
9.0% | -50.0% | 0.42 | 0.18 | 2.2x | 124 | 50% |
| SMA 크로스오버 fast=8, slow=206 |
8.8% | -58.9% | 0.41 | 0.15 | 2.2x | 26 | 57% |
| 볼린저 밴드 돌파 n=19, k=1.3 |
6.3% | -56.1% | 0.35 | 0.11 | 1.8x | 124 | 40% |
| ROC 모멘텀 n=103, threshold=-0.01 |
5.2% | -64.4% | 0.34 | 0.08 | 1.6x | 72 | 66% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-1.5% | -72.4% | 0.16 | -0.02 | 0.9x | 168 | 53% |
| Buy and hold | 22.1% | -66.9% | 0.64 | 0.33 | 6.5x | 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) — 5-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)