Trend-Following Backtester · Guide · backtest 한국어
equity · KR
미래에셋증권 backtest
10 trend-following strategies were compared on the full daily history of 미래에셋증권. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.1%, MDD -34.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.6%, drawdown -89.3%).
Sharpe leader (same as main): MACD — CAGR 12.1%, MDD -71.5%, Sharpe 0.50, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 17.8%p (CAGR 6.1%, MDD -34.2%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=24, slow=83, signal=18 |
12.1% | -71.5% | 0.50 | 0.17 | 21.0x | 226 | 52% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=10, mult=3.5 |
7.7% | -44.8% | 0.45 | 0.17 | 7.2x | 46 | 9% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
6.1% | -34.2% | 0.44 | 0.18 | 4.9x | 10 | 3% |
| SMA 크로스오버 fast=37, slow=117 |
8.9% | -67.9% | 0.42 | 0.13 | 9.7x | 62 | 49% |
| Donchian 채널 돌파 entryN=36, exitN=72 |
9.2% | -73.8% | 0.42 | 0.12 | 10.3x | 56 | 63% |
| Supertrend period=16, mult=4 |
7.8% | -75.7% | 0.39 | 0.10 | 7.4x | 124 | 50% |
| EMA 크로스오버 fast=20, slow=45 |
6.8% | -73.8% | 0.36 | 0.09 | 5.8x | 124 | 48% |
| ADX / DI 방향성 period=39, threshold=15 |
5.7% | -73.6% | 0.34 | 0.08 | 4.3x | 90 | 22% |
| Parabolic SAR step=0.01, maxStep=0.1 |
5.9% | -85.1% | 0.34 | 0.07 | 4.6x | 346 | 49% |
| ROC 모멘텀 n=100, threshold=0.09 |
5.5% | -71.4% | 0.33 | 0.08 | 4.1x | 236 | 35% |
| Buy and hold | 3.6% | -89.3% | 0.32 | 0.04 | 2.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (24/83) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line