Trend-Following Backtester · Guide · backtest 한국어
equity · KR
에스에이엠티 backtest
10 trend-following strategies were compared on the full daily history of 에스에이엠티. 9 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 4.3%, MDD -23.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.7%, drawdown -97.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.7%, MDD -72.0%, Sharpe 0.38, 61% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 4.3%, MDD -23.2%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=32, exitN=59 |
7.7% | -72.0% | 0.38 | 0.11 | 7.0x | 61 | 61% |
| SMA 크로스오버 fast=27, slow=119 |
7.7% | -69.8% | 0.38 | 0.11 | 6.9x | 59 | 49% |
| Supertrend period=8, mult=4.5 |
7.1% | -67.2% | 0.37 | 0.11 | 6.0x | 72 | 54% |
| EMA 크로스오버 fast=39, slow=80 |
7.1% | -76.4% | 0.37 | 0.09 | 6.1x | 61 | 47% |
| ADX / DI 방향성 period=29, threshold=36 |
4.3% | -23.2% | 0.34 | 0.19 | 3.0x | 10 | 3% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
3.9% | -75.0% | 0.28 | 0.05 | 2.7x | 64 | 23% |
| ROC 모멘텀 n=65, threshold=-0.01 |
2.5% | -79.6% | 0.26 | 0.03 | 1.9x | 319 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=4 |
1.9% | -70.6% | 0.21 | 0.03 | 1.7x | 46 | 18% |
| MACD fast=17, slow=26, signal=18 |
-0.2% | -75.9% | 0.19 | -0.00 | 0.9x | 294 | 50% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-4.5% | -94.2% | 0.08 | -0.05 | 0.3x | 422 | 47% |
| Buy and hold | -0.7% | -97.2% | 0.26 | -0.01 | 0.8x | 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 32 days
- Sell — Sell when price breaks below the lowest low of the last 59 days