Trend-Following Backtester · Guide · backtest 한국어
equity · KR
한화시스템 backtest
10 trend-following strategies were compared on the full daily history of 한화시스템. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 31.8%, MDD -51.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 31.6%, drawdown -66.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 41.4%, MDD -52.8%, Sharpe 0.92, 80% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 13.9%p (CAGR 31.8%, MDD -51.2%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=71 |
41.4% | -52.8% | 0.92 | 0.78 | 10.2x | 12 | 80% |
| EMA 크로스오버 fast=39, slow=149 |
38.1% | -55.1% | 0.88 | 0.69 | 8.8x | 6 | 64% |
| Supertrend period=7, mult=4.6 |
36.4% | -57.4% | 0.86 | 0.63 | 8.1x | 18 | 74% |
| SMA 크로스오버 fast=14, slow=229 |
35.6% | -55.1% | 0.85 | 0.65 | 7.7x | 8 | 62% |
| ADX / DI 방향성 period=32, threshold=14 |
31.8% | -51.2% | 0.79 | 0.62 | 6.4x | 34 | 68% |
| ROC 모멘텀 n=87, threshold=0.13 |
29.1% | -44.3% | 0.78 | 0.66 | 5.5x | 58 | 43% |
| MACD fast=13, slow=54, signal=18 |
23.4% | -47.1% | 0.69 | 0.50 | 4.1x | 70 | 46% |
| 볼린저 밴드 돌파 n=26, k=1 |
22.0% | -46.3% | 0.66 | 0.47 | 3.8x | 72 | 41% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=1.1 |
20.8% | -47.8% | 0.64 | 0.44 | 3.6x | 52 | 48% |
| Parabolic SAR step=0.01, maxStep=0.24 |
19.1% | -51.8% | 0.61 | 0.37 | 3.2x | 82 | 47% |
| Buy and hold | 31.6% | -66.7% | 0.76 | 0.47 | 6.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 16 days
- Sell — Sell when price breaks below the lowest low of the last 71 days