Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한화에어로스페이스 backtest
10 trend-following strategies were compared on the full daily history of 한화에어로스페이스. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 25.1%, MDD -44.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 17.9%, drawdown -87.2%).
Sharpe leader (same as main): Supertrend — CAGR 27.8%, MDD -46.1%, Sharpe 0.84, 63% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 25.1%, MDD -44.6%, exposure 57%).
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=8, mult=4.2 |
27.8% | -46.1% | 0.84 | 0.60 | 691.0x | 87 | 63% |
| ADX / DI 방향성 period=38, threshold=9 |
25.1% | -44.6% | 0.80 | 0.56 | 390.3x | 210 | 57% |
| Donchian 채널 돌파 entryN=17, exitN=55 |
25.9% | -71.2% | 0.77 | 0.36 | 464.5x | 77 | 74% |
| SMA 크로스오버 fast=39, slow=199 |
20.7% | -56.8% | 0.70 | 0.36 | 152.1x | 36 | 60% |
| EMA 크로스오버 fast=10, slow=185 |
20.1% | -62.5% | 0.69 | 0.32 | 132.0x | 69 | 58% |
| ROC 모멘텀 n=53, threshold=-0.03 |
20.3% | -50.6% | 0.68 | 0.40 | 138.0x | 287 | 62% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=20, mult=1.4 |
17.0% | -66.0% | 0.64 | 0.26 | 66.3x | 165 | 48% |
| 볼린저 밴드 돌파 n=55, k=2.5 |
13.8% | -49.8% | 0.59 | 0.28 | 31.2x | 74 | 34% |
| Parabolic SAR step=0.005, maxStep=0.22 |
15.3% | -67.0% | 0.58 | 0.23 | 44.2x | 223 | 52% |
| MACD fast=19, slow=37, signal=18 |
9.7% | -54.9% | 0.44 | 0.18 | 11.7x | 287 | 50% |
| Buy and hold | 17.9% | -87.2% | 0.58 | 0.21 | 80.9x | 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) — 8-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)