Trend-Following Backtester · Guide · backtest 한국어
equity · KR
메리츠금융지주 backtest
10 trend-following strategies were compared on the full daily history of 메리츠금융지주. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.0%, MDD -30.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 22.8%, drawdown -65.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 30.1%, MDD -45.6%, Sharpe 1.13, 62% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 19.9%p (CAGR 23.0%, MDD -30.9%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=6, slow=126 |
30.1% | -45.6% | 1.13 | 0.66 | 56.1x | 41 | 62% |
| SMA 크로스오버 fast=48, slow=165 |
28.3% | -41.8% | 1.12 | 0.68 | 45.5x | 15 | 63% |
| ADX / DI 방향성 period=39, threshold=16 |
23.0% | -30.9% | 1.06 | 0.74 | 23.7x | 52 | 35% |
| Donchian 채널 돌파 entryN=56, exitN=61 |
26.6% | -47.4% | 1.05 | 0.56 | 37.1x | 19 | 62% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=20, mult=1.2 |
25.4% | -39.6% | 1.04 | 0.64 | 31.9x | 70 | 50% |
| ROC 모멘텀 n=139, threshold=0.01 |
25.6% | -43.6% | 1.02 | 0.59 | 32.6x | 71 | 64% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
20.5% | -32.6% | 1.01 | 0.63 | 17.3x | 49 | 41% |
| Supertrend period=22, mult=3.4 |
25.4% | -33.4% | 1.00 | 0.76 | 32.1x | 55 | 59% |
| MACD fast=11, slow=53, signal=14 |
14.2% | -62.3% | 0.66 | 0.23 | 7.6x | 202 | 49% |
| Parabolic SAR step=0.015, maxStep=0.14 |
13.2% | -65.4% | 0.62 | 0.20 | 6.7x | 257 | 52% |
| Buy and hold | 22.8% | -65.5% | 0.76 | 0.35 | 23.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 6-day EMA crosses above the 126-day EMA
- Sell — Sell when the 6-day EMA falls below the 126-day EMA