Trend-Following Backtester · Guide · backtest 한국어
equity · KR
하나금융지주 backtest
10 trend-following strategies were compared on the full daily history of 하나금융지주. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.3%, MDD -60.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.4%, drawdown -77.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -60.0%, Sharpe 0.46, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 17.1%p (CAGR 9.3%, MDD -60.0%, exposure 55%).
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=42, slow=95 |
9.3% | -60.0% | 0.46 | 0.15 | 8.2x | 67 | 55% |
| EMA 크로스오버 fast=58, slow=200 |
6.5% | -68.0% | 0.37 | 0.09 | 4.4x | 29 | 57% |
| Donchian 채널 돌파 entryN=119, exitN=58 |
5.5% | -54.4% | 0.34 | 0.10 | 3.6x | 35 | 46% |
| ROC 모멘텀 n=109, threshold=-0.03 |
4.0% | -70.2% | 0.28 | 0.06 | 2.5x | 247 | 62% |
| Supertrend period=20, mult=5 |
2.5% | -70.9% | 0.23 | 0.04 | 1.8x | 69 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=3.5 |
1.5% | -64.6% | 0.17 | 0.02 | 1.4x | 60 | 23% |
| 볼린저 밴드 돌파 n=58, k=2.2 |
0.8% | -71.6% | 0.14 | 0.01 | 1.2x | 84 | 30% |
| ADX / DI 방향성 period=31, threshold=32 |
0.4% | -15.0% | 0.11 | 0.03 | 1.1x | 6 | 1% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-8.0% | -93.3% | -0.19 | -0.09 | 0.1x | 330 | 50% |
| MACD fast=19, slow=24, signal=19 |
-9.0% | -94.9% | -0.22 | -0.09 | 0.1x | 316 | 51% |
| Buy and hold | 8.4% | -77.1% | 0.40 | 0.11 | 6.8x | 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 42-day average price crosses above the 95-day average
- Sell — Sell (to cash) when the 42-day average falls below the 95-day average