Trend-Following Backtester · Guide · backtest 한국어
equity · KR
BNK금융지주 backtest
10 trend-following strategies were compared on the full daily history of BNK금융지주. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.7%, MDD -26.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.2%, drawdown -78.7%).
Sharpe leader (same as main): Supertrend — CAGR 4.6%, MDD -58.8%, Sharpe 0.33, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 19.9%p (CAGR 1.7%, MDD -26.9%, exposure 18%).
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=17, mult=4.7 |
4.6% | -58.8% | 0.33 | 0.08 | 2.0x | 36 | 58% |
| ROC 모멘텀 n=266, threshold=0.18 |
4.0% | -34.3% | 0.32 | 0.12 | 1.8x | 43 | 31% |
| EMA 크로스오버 fast=75, slow=174 |
4.4% | -47.6% | 0.32 | 0.09 | 1.9x | 15 | 49% |
| SMA 크로스오버 fast=40, slow=159 |
2.7% | -55.5% | 0.24 | 0.05 | 1.5x | 28 | 54% |
| 볼린저 밴드 돌파 n=38, k=2.7 |
1.7% | -26.9% | 0.20 | 0.06 | 1.3x | 44 | 18% |
| Donchian 채널 돌파 entryN=39, exitN=53 |
1.7% | -59.2% | 0.19 | 0.03 | 1.3x | 34 | 58% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=24, mult=2.8 |
0.9% | -30.7% | 0.13 | 0.03 | 1.1x | 46 | 22% |
| ADX / DI 방향성 period=15, threshold=38 |
-0.2% | -23.6% | -0.01 | -0.01 | 1.0x | 20 | 3% |
| MACD fast=16, slow=23, signal=16 |
-5.5% | -74.9% | -0.18 | -0.07 | 0.4x | 230 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-7.2% | -74.1% | -0.27 | -0.10 | 0.3x | 128 | 50% |
| Buy and hold | 0.2% | -78.7% | 0.16 | 0.00 | 1.0x | 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) — 17-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)