Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한샘 backtest
10 trend-following strategies were compared on the full daily history of 한샘. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.2%, MDD -59.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.8%, drawdown -91.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -70.0%, Sharpe 0.51, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 9.2%, MDD -59.2%, exposure 55%).
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=24, slow=49 |
11.4% | -70.0% | 0.51 | 0.16 | 13.4x | 111 | 52% |
| Donchian 채널 돌파 entryN=51, exitN=70 |
9.2% | -59.2% | 0.44 | 0.16 | 8.3x | 41 | 55% |
| EMA 크로스오버 fast=7, slow=194 |
8.7% | -70.6% | 0.44 | 0.12 | 7.5x | 70 | 47% |
| Supertrend period=29, mult=3.4 |
8.0% | -78.5% | 0.40 | 0.10 | 6.4x | 105 | 51% |
| ADX / DI 방향성 period=35, threshold=30 |
3.6% | -28.4% | 0.39 | 0.13 | 2.3x | 16 | 6% |
| 볼린저 밴드 돌파 n=53, k=3.5 |
4.1% | -47.6% | 0.36 | 0.09 | 2.6x | 18 | 11% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=12, mult=3.1 |
4.6% | -67.7% | 0.32 | 0.07 | 3.0x | 62 | 25% |
| ROC 모멘텀 n=119, threshold=0 |
5.1% | -80.2% | 0.32 | 0.06 | 3.3x | 172 | 51% |
| MACD fast=14, slow=68, signal=13 |
0.0% | -76.6% | 0.15 | 0.00 | 1.0x | 285 | 50% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-2.6% | -80.4% | 0.07 | -0.03 | 0.5x | 405 | 48% |
| Buy and hold | 6.8% | -91.5% | 0.37 | 0.07 | 4.9x | 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 24-day average price crosses above the 49-day average
- Sell — Sell (to cash) when the 24-day average falls below the 49-day average