Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한화엔진 backtest
10 trend-following strategies were compared on the full daily history of 한화엔진. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.4%, MDD -40.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.5%, drawdown -93.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.1%, MDD -57.5%, Sharpe 0.56, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 36.0%p (CAGR 6.4%, MDD -40.4%, exposure 32%).
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=41, slow=463 |
15.1% | -57.5% | 0.56 | 0.26 | 9.0x | 13 | 51% |
| MACD fast=9, slow=38, signal=13 |
12.7% | -57.9% | 0.52 | 0.22 | 6.5x | 235 | 48% |
| Parabolic SAR step=0.01, maxStep=0.12 |
12.6% | -49.0% | 0.51 | 0.26 | 6.4x | 189 | 46% |
| Donchian 채널 돌파 entryN=17, exitN=74 |
9.1% | -78.3% | 0.43 | 0.12 | 3.9x | 40 | 78% |
| ROC 모멘텀 n=18, threshold=0.06 |
6.4% | -40.4% | 0.36 | 0.16 | 2.7x | 287 | 32% |
| 볼린저 밴드 돌파 n=47, k=1.2 |
5.9% | -55.6% | 0.35 | 0.11 | 2.5x | 90 | 38% |
| Supertrend period=13, mult=4.1 |
4.2% | -68.2% | 0.31 | 0.06 | 1.9x | 64 | 54% |
| ADX / DI 방향성 period=8, threshold=32 |
3.9% | -52.2% | 0.28 | 0.07 | 1.8x | 184 | 26% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=18, mult=1.2 |
2.2% | -71.2% | 0.24 | 0.03 | 1.4x | 130 | 39% |
| EMA 크로스오버 fast=44, slow=170 |
1.4% | -76.1% | 0.24 | 0.02 | 1.3x | 30 | 50% |
| Buy and hold | 5.5% | -93.6% | 0.37 | 0.06 | 2.3x | 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 41-day average price crosses above the 463-day average
- Sell — Sell (to cash) when the 41-day average falls below the 463-day average