Trend-Following Backtester · Guide · backtest 한국어
equity · KR
JB금융지주 backtest
10 trend-following strategies were compared on the full daily history of JB금융지주. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.8%, MDD -44.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.5%, drawdown -68.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.8%, MDD -44.5%, Sharpe 0.56, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 11.8%, MDD -44.5%, exposure 56%).
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=25, slow=209 |
11.8% | -44.5% | 0.56 | 0.27 | 19.4x | 34 | 56% |
| EMA 크로스오버 fast=54, slow=190 |
11.7% | -51.1% | 0.55 | 0.23 | 18.8x | 29 | 56% |
| Donchian 채널 돌파 entryN=87, exitN=38 |
9.5% | -47.4% | 0.51 | 0.20 | 11.2x | 46 | 41% |
| Keltner 채널 돌파 emaPeriod=143, atrPeriod=22, mult=1.5 |
8.8% | -52.8% | 0.47 | 0.17 | 9.4x | 92 | 48% |
| ROC 모멘텀 n=97, threshold=-0.01 |
7.7% | -61.6% | 0.41 | 0.12 | 7.1x | 230 | 58% |
| Parabolic SAR step=0.005, maxStep=0.12 |
6.5% | -60.5% | 0.37 | 0.11 | 5.3x | 195 | 50% |
| ADX / DI 방향성 period=39, threshold=12 |
6.5% | -60.9% | 0.37 | 0.11 | 5.3x | 160 | 41% |
| Supertrend period=26, mult=5 |
5.0% | -75.7% | 0.32 | 0.07 | 3.7x | 78 | 55% |
| 볼린저 밴드 돌파 n=54, k=1.6 |
2.5% | -56.2% | 0.22 | 0.05 | 1.9x | 139 | 37% |
| MACD fast=16, slow=29, signal=16 |
2.0% | -61.7% | 0.21 | 0.03 | 1.7x | 337 | 51% |
| Buy and hold | 8.5% | -68.2% | 0.41 | 0.13 | 8.8x | 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 25-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 25-day average falls below the 209-day average