Trend-Following Backtester · Guide · backtest 한국어

equity · KR

한국금융지주 backtest

10 trend-following strategies were compared on the full daily history of 한국금융지주. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.8%, MDD -46.1%).

Data 2003-01-23 ~ 2026-07-31daily bars 5,847 (23.5 years)Costs 0.5%Venue XKRXMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 11.9%, drawdown -76.0%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.8%, MDD -46.1%, Sharpe 0.64, 57% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 29.9%p (CAGR 16.8%, MDD -46.1%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=52, slow=166
16.8%-46.1%0.640.3638.6x3157%
볼린저 밴드 돌파
n=97, k=3.5
11.5%-42.6%0.610.2712.8x1419%
EMA 크로스오버
fast=33, slow=196
15.1%-67.8%0.600.2227.5x3154%
ROC 모멘텀
n=141, threshold=-0.03
13.4%-57.1%0.550.2319.1x16362%
Donchian 채널 돌파
entryN=92, exitN=75
12.2%-68.6%0.520.1815.1x3057%
ADX / DI 방향성
period=33, threshold=18
8.2%-44.0%0.490.196.4x7019%
Keltner 채널 돌파
emaPeriod=22, atrPeriod=15, mult=3.5
4.3%-34.0%0.350.132.7x368%
Supertrend
period=21, mult=5
3.4%-72.8%0.260.052.2x7452%
Parabolic SAR
step=0.025, maxStep=0.14
-0.6%-78.0%0.13-0.010.9x53053%
MACD
fast=18, slow=52, signal=17
-2.4%-89.1%0.06-0.030.6x27651%
Buy and hold11.9%-76.0%0.480.1614.2x1100%
1x 10x 2004 2007 2010 2013 2016 2019 2022 2025 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -38% -57% -76% 2004 2007 2010 2013 2016 2019 2022 2025 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -46.1% (2007-11-01 → 2009-04-28), recovered after 2,717 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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