Trend-Following Backtester · Guide · backtest 한국어
equity · KR
피에스케이홀딩스 backtest
10 trend-following strategies were compared on the full daily history of 피에스케이홀딩스. 2 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 45.9%, MDD -44.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 44.8%, drawdown -65.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 45.9%, MDD -44.2%, Sharpe 1.01, 51% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 21.4%p (CAGR 45.9%, MDD -44.2%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.16 |
45.9% | -44.2% | 1.01 | 1.04 | 15.5x | 87 | 51% |
| ADX / DI 방향성 period=16, threshold=23 |
40.4% | -38.2% | 0.96 | 1.06 | 11.7x | 48 | 35% |
| MACD fast=11, slow=42, signal=14 |
40.3% | -50.9% | 0.93 | 0.79 | 11.7x | 95 | 51% |
| SMA 크로스오버 fast=32, slow=196 |
45.2% | -55.1% | 0.93 | 0.82 | 15.0x | 11 | 54% |
| ROC 모멘텀 n=74, threshold=0.06 |
42.4% | -57.3% | 0.91 | 0.74 | 13.0x | 64 | 52% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=20, mult=3.1 |
34.5% | -42.5% | 0.90 | 0.81 | 8.6x | 22 | 28% |
| Donchian 채널 돌파 entryN=18, exitN=61 |
41.9% | -66.1% | 0.88 | 0.64 | 12.7x | 15 | 75% |
| EMA 크로스오버 fast=18, slow=101 |
37.9% | -58.5% | 0.84 | 0.65 | 10.3x | 17 | 57% |
| Supertrend period=19, mult=3.6 |
35.4% | -53.7% | 0.83 | 0.66 | 9.0x | 34 | 59% |
| 볼린저 밴드 돌파 n=45, k=2.2 |
29.7% | -49.4% | 0.80 | 0.60 | 6.6x | 30 | 33% |
| Buy and hold | 44.8% | -65.6% | 0.89 | 0.68 | 14.7x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots