Trend-Following Backtester · Guide · backtest 한국어
equity · KR
현대해상 backtest
10 trend-following strategies were compared on the full daily history of 현대해상. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.4%, MDD -57.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.0%, drawdown -77.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -63.5%, Sharpe 0.51, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 13.4%p (CAGR 11.4%, MDD -57.1%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=218 |
12.4% | -63.5% | 0.51 | 0.20 | 22.4x | 43 | 58% |
| EMA 크로스오버 fast=34, slow=197 |
11.4% | -57.1% | 0.49 | 0.20 | 17.7x | 43 | 61% |
| Donchian 채널 돌파 entryN=71, exitN=67 |
9.0% | -72.2% | 0.43 | 0.13 | 9.9x | 47 | 55% |
| ROC 모멘텀 n=145, threshold=-0.04 |
8.3% | -73.5% | 0.40 | 0.11 | 8.4x | 221 | 66% |
| ADX / DI 방향성 period=39, threshold=18 |
6.3% | -53.4% | 0.39 | 0.12 | 5.1x | 49 | 15% |
| Supertrend period=3, mult=4.1 |
7.7% | -67.9% | 0.39 | 0.11 | 7.1x | 107 | 58% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=23, mult=2.7 |
5.4% | -47.3% | 0.38 | 0.11 | 4.0x | 70 | 11% |
| MACD fast=31, slow=36, signal=24 |
3.7% | -78.8% | 0.27 | 0.05 | 2.6x | 240 | 50% |
| 볼린저 밴드 돌파 n=32, k=2.3 |
3.2% | -73.5% | 0.25 | 0.04 | 2.3x | 128 | 24% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-5.8% | -97.0% | -0.03 | -0.06 | 0.2x | 465 | 51% |
| Buy and hold | 12.0% | -77.0% | 0.48 | 0.16 | 20.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 40-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 40-day average falls below the 218-day average