Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한온시스템 backtest
10 trend-following strategies were compared on the full daily history of 한온시스템. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.1%, MDD -64.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.7%, drawdown -85.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.1%, MDD -64.9%, Sharpe 0.29, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 20.3%p (CAGR 4.1%, MDD -64.9%, exposure 51%).
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=9, slow=191 |
4.1% | -64.9% | 0.29 | 0.06 | 2.9x | 72 | 51% |
| EMA 크로스오버 fast=9, slow=236 |
2.7% | -62.4% | 0.25 | 0.04 | 2.0x | 82 | 53% |
| Donchian 채널 돌파 entryN=25, exitN=38 |
1.8% | -75.8% | 0.23 | 0.02 | 1.6x | 88 | 61% |
| Supertrend period=16, mult=4.8 |
1.6% | -65.5% | 0.22 | 0.02 | 1.5x | 64 | 53% |
| ADX / DI 방향성 period=50, threshold=27 |
1.3% | -26.7% | 0.18 | 0.05 | 1.4x | 4 | 5% |
| ROC 모멘텀 n=86, threshold=0.04 |
0.3% | -71.2% | 0.17 | 0.00 | 1.1x | 302 | 45% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=20, mult=2.4 |
-0.9% | -73.3% | 0.10 | -0.01 | 0.8x | 102 | 28% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
-2.6% | -76.3% | 0.05 | -0.03 | 0.5x | 128 | 33% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-8.0% | -93.0% | -0.10 | -0.09 | 0.1x | 208 | 49% |
| MACD fast=17, slow=27, signal=13 |
-8.8% | -96.5% | -0.11 | -0.09 | 0.1x | 389 | 51% |
| Buy and hold | 4.7% | -85.1% | 0.33 | 0.05 | 3.4x | 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 9-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 9-day average falls below the 191-day average