Trend-Following Backtester · Guide · backtest 한국어
equity · KR
우리금융지주 backtest
10 trend-following strategies were compared on the full daily history of 우리금융지주. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.6%, MDD -30.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.2%, drawdown -56.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.6%, MDD -30.5%, Sharpe 0.88, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 26.3%p (CAGR 18.6%, MDD -30.5%, exposure 61%).
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=7, slow=256 |
18.6% | -30.5% | 0.88 | 0.61 | 3.6x | 3 | 61% |
| EMA 크로스오버 fast=110, slow=201 |
17.4% | -32.1% | 0.84 | 0.54 | 3.3x | 3 | 56% |
| ROC 모멘텀 n=140, threshold=0.04 |
17.6% | -30.5% | 0.84 | 0.58 | 3.4x | 41 | 61% |
| Donchian 채널 돌파 entryN=79, exitN=104 |
16.9% | -34.1% | 0.79 | 0.50 | 3.2x | 5 | 65% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=20, mult=2.2 |
5.3% | -17.9% | 0.56 | 0.29 | 1.5x | 26 | 9% |
| Supertrend period=26, mult=2.2 |
5.6% | -39.2% | 0.37 | 0.14 | 1.5x | 81 | 58% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.2% | -44.4% | 0.21 | 0.05 | 1.2x | 57 | 52% |
| MACD fast=19, slow=40, signal=15 |
1.6% | -33.6% | 0.18 | 0.05 | 1.1x | 90 | 51% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
1.5% | -39.9% | 0.18 | 0.04 | 1.1x | 51 | 41% |
| ADX / DI 방향성 period=29, threshold=26 |
1.0% | -22.2% | 0.16 | 0.04 | 1.1x | 8 | 4% |
| Buy and hold | 11.2% | -56.8% | 0.51 | 0.20 | 2.2x | 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 7-day average price crosses above the 256-day average
- Sell — Sell (to cash) when the 7-day average falls below the 256-day average