Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한미반도체 backtest
10 trend-following strategies were compared on the full daily history of 한미반도체. 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 33.3%, MDD -55.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 25.9%, drawdown -85.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 32.7%, MDD -59.1%, Sharpe 0.86, 62% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 33.3%, MDD -55.9%, exposure 77%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 33.3%, MDD -55.9%, exposure 77%).
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=53, slow=168 |
32.7% | -59.1% | 0.86 | 0.55 | 392.5x | 26 | 62% |
| Donchian 채널 돌파 entryN=17, exitN=59 |
33.3% | -55.9% | 0.86 | 0.60 | 433.9x | 50 | 77% |
| ROC 모멘텀 n=142, threshold=0.04 |
29.2% | -59.1% | 0.80 | 0.49 | 222.4x | 93 | 58% |
| EMA 크로스오버 fast=48, slow=155 |
29.0% | -60.3% | 0.80 | 0.48 | 214.0x | 22 | 61% |
| Supertrend period=28, mult=4 |
25.7% | -67.1% | 0.77 | 0.38 | 124.7x | 78 | 53% |
| 볼린저 밴드 돌파 n=52, k=1 |
22.7% | -44.0% | 0.73 | 0.52 | 74.6x | 126 | 46% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=2.1 |
21.4% | -45.6% | 0.72 | 0.47 | 59.5x | 90 | 39% |
| Parabolic SAR step=0.005, maxStep=0.38 |
22.7% | -55.3% | 0.72 | 0.41 | 74.8x | 151 | 51% |
| ADX / DI 방향성 period=33, threshold=7 |
19.0% | -66.4% | 0.62 | 0.29 | 39.2x | 232 | 60% |
| MACD fast=18, slow=43, signal=18 |
9.2% | -69.2% | 0.42 | 0.13 | 6.4x | 245 | 51% |
| Buy and hold | 25.9% | -85.3% | 0.70 | 0.30 | 129.7x | 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 53-day average price crosses above the 168-day average
- Sell — Sell (to cash) when the 53-day average falls below the 168-day average