Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한화생명 backtest
10 trend-following strategies were compared on the full daily history of 한화생명. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.4%, MDD -36.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.2%, drawdown -90.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.4%, MDD -36.7%, Sharpe 0.31, 15% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 53.9%p (CAGR 4.4%, MDD -36.7%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=3.6 |
4.4% | -36.7% | 0.31 | 0.12 | 2.0x | 26 | 15% |
| 볼린저 밴드 돌파 n=75, k=3.3 |
3.8% | -39.2% | 0.29 | 0.10 | 1.9x | 14 | 11% |
| ADX / DI 방향성 period=21, threshold=24 |
3.4% | -44.6% | 0.26 | 0.08 | 1.7x | 50 | 15% |
| SMA 크로스오버 fast=56, slow=132 |
3.0% | -40.2% | 0.24 | 0.07 | 1.6x | 31 | 39% |
| Donchian 채널 돌파 entryN=66, exitN=53 |
0.3% | -43.7% | 0.14 | 0.01 | 1.1x | 28 | 40% |
| EMA 크로스오버 fast=52, slow=194 |
-0.5% | -56.4% | 0.12 | -0.01 | 0.9x | 21 | 43% |
| ROC 모멘텀 n=49, threshold=0.11 |
0.1% | -46.2% | 0.11 | 0.00 | 1.0x | 108 | 16% |
| Supertrend period=25, mult=2 |
-1.4% | -63.0% | 0.07 | -0.02 | 0.8x | 174 | 41% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-6.4% | -77.2% | -0.13 | -0.08 | 0.3x | 128 | 44% |
| MACD fast=18, slow=37, signal=12 |
-8.5% | -81.6% | -0.22 | -0.10 | 0.2x | 230 | 48% |
| Buy and hold | -4.2% | -90.6% | 0.07 | -0.05 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 57-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 57-day average