Trend-Following Backtester · Guide · backtest 한국어
equity · KR
DB손해보험 backtest
10 trend-following strategies were compared on the full daily history of DB손해보험. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 14.8%, MDD -62.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -81.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.8%, MDD -62.1%, Sharpe 0.55, 84% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 19.0%p (CAGR 14.8%, MDD -62.1%, exposure 84%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=67, threshold=-0.13 |
14.8% | -62.1% | 0.55 | 0.24 | 39.6x | 167 | 84% |
| SMA 크로스오버 fast=42, slow=180 |
13.3% | -52.9% | 0.54 | 0.25 | 27.8x | 42 | 63% |
| Donchian 채널 돌파 entryN=16, exitN=77 |
13.3% | -63.2% | 0.51 | 0.21 | 27.3x | 73 | 82% |
| EMA 크로스오버 fast=47, slow=195 |
12.3% | -54.2% | 0.51 | 0.23 | 22.1x | 35 | 67% |
| Supertrend period=12, mult=5 |
12.2% | -53.2% | 0.50 | 0.23 | 21.1x | 62 | 63% |
| ADX / DI 방향성 period=48, threshold=13 |
5.8% | -57.5% | 0.34 | 0.10 | 4.5x | 104 | 33% |
| Parabolic SAR step=0.005, maxStep=0.06 |
5.3% | -90.8% | 0.32 | 0.06 | 3.9x | 225 | 51% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=22, mult=2.6 |
3.2% | -54.4% | 0.26 | 0.06 | 2.3x | 86 | 12% |
| MACD fast=29, slow=73, signal=13 |
2.8% | -82.8% | 0.25 | 0.03 | 2.1x | 277 | 51% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
1.8% | -33.3% | 0.21 | 0.05 | 1.6x | 16 | 4% |
| Buy and hold | 15.7% | -81.1% | 0.55 | 0.19 | 47.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 67-day return is greater than -13%
- Sell — Sell when the 67-day return drops to -13% or below