Trend-Following Backtester · Guide · backtest 한국어
equity · KR
iM금융지주 backtest
10 trend-following strategies were compared on the full daily history of iM금융지주. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -13.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.3%, drawdown -80.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -50.0%, Sharpe 0.38, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 0.8%, MDD -13.7%, exposure 1%).
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=50, slow=135 |
5.8% | -50.0% | 0.38 | 0.12 | 2.4x | 27 | 50% |
| EMA 크로스오버 fast=28, slow=215 |
5.3% | -30.9% | 0.36 | 0.17 | 2.2x | 19 | 44% |
| Donchian 채널 돌파 entryN=81, exitN=65 |
3.9% | -49.5% | 0.29 | 0.08 | 1.8x | 20 | 49% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=21, mult=2.3 |
1.7% | -22.2% | 0.25 | 0.08 | 1.3x | 34 | 5% |
| ADX / DI 방향성 period=28, threshold=37 |
0.8% | -13.7% | 0.23 | 0.06 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=142, threshold=0.11 |
2.4% | -50.1% | 0.23 | 0.05 | 1.4x | 80 | 29% |
| Supertrend period=28, mult=4.5 |
2.0% | -48.7% | 0.20 | 0.04 | 1.3x | 48 | 40% |
| 볼린저 밴드 돌파 n=46, k=2.9 |
0.4% | -33.7% | 0.09 | 0.01 | 1.1x | 32 | 14% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.0% | -77.4% | -0.23 | -0.08 | 0.4x | 250 | 48% |
| MACD fast=6, slow=58, signal=19 |
-6.3% | -81.9% | -0.24 | -0.08 | 0.4x | 256 | 50% |
| Buy and hold | 0.3% | -80.1% | 0.16 | 0.00 | 1.0x | 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 50-day average price crosses above the 135-day average
- Sell — Sell (to cash) when the 50-day average falls below the 135-day average