Trend-Following Backtester · Guide · backtest 한국어
equity · KR
미래에셋생명 backtest
10 trend-following strategies were compared on the full daily history of 미래에셋생명. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.8%, MDD -43.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.1%, drawdown -83.0%).
Sharpe leader (same as main): Supertrend — CAGR 14.7%, MDD -43.6%, Sharpe 0.57, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.6%p higher than buy and hold, while drawdown improves by 39.4%p (CAGR 10.8%, MDD -43.6%, exposure 40%).
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=24, mult=4.5 |
14.7% | -43.6% | 0.57 | 0.34 | 5.2x | 32 | 61% |
| ADX / DI 방향성 period=34, threshold=9 |
12.5% | -59.1% | 0.50 | 0.21 | 4.1x | 87 | 51% |
| Donchian 채널 돌파 entryN=25, exitN=67 |
11.7% | -59.1% | 0.49 | 0.20 | 3.8x | 27 | 65% |
| SMA 크로스오버 fast=9, slow=99 |
11.5% | -53.3% | 0.48 | 0.21 | 3.6x | 44 | 50% |
| EMA 크로스오버 fast=33, slow=54 |
11.2% | -54.7% | 0.47 | 0.20 | 3.5x | 34 | 51% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
10.8% | -43.6% | 0.47 | 0.25 | 3.4x | 120 | 40% |
| ROC 모멘텀 n=19, threshold=-0.01 |
8.8% | -53.6% | 0.41 | 0.17 | 2.7x | 230 | 55% |
| Parabolic SAR step=0.01, maxStep=0.3 |
8.1% | -45.3% | 0.40 | 0.18 | 2.5x | 136 | 46% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=19, mult=2 |
7.9% | -43.6% | 0.40 | 0.18 | 2.5x | 48 | 33% |
| MACD fast=21, slow=71, signal=23 |
4.9% | -51.1% | 0.31 | 0.10 | 1.8x | 94 | 49% |
| Buy and hold | 5.1% | -83.0% | 0.33 | 0.06 | 1.8x | 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) — 24-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)