Trend-Following Backtester · Guide · backtest 한국어
equity · KR
피에스케이홀딩스 backtest
10 trend-following strategies were compared on the full daily history of 피에스케이홀딩스. 5 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 40.9%, MDD -38.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 40.6%, drawdown -65.6%).
Sharpe leader (same as main): Parabolic SAR — CAGR 44.3%, MDD -43.6%, Sharpe 0.99, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 22.0%p (CAGR 40.9%, MDD -38.2%, exposure 36%).
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 |
44.3% | -43.6% | 0.99 | 1.02 | 13.9x | 86 | 51% |
| ADX / DI 방향성 period=16, threshold=23 |
40.9% | -38.2% | 0.97 | 1.07 | 11.7x | 48 | 36% |
| ROC 모멘텀 n=74, threshold=0.06 |
43.0% | -57.3% | 0.92 | 0.75 | 13.0x | 64 | 53% |
| MACD fast=11, slow=42, signal=14 |
38.7% | -49.4% | 0.91 | 0.78 | 10.5x | 94 | 51% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=20, mult=3.1 |
35.0% | -42.5% | 0.90 | 0.82 | 8.6x | 22 | 28% |
| Donchian 채널 돌파 entryN=18, exitN=61 |
43.0% | -66.1% | 0.89 | 0.65 | 13.0x | 14 | 76% |
| SMA 크로스오버 fast=32, slow=196 |
41.0% | -55.1% | 0.88 | 0.74 | 11.8x | 11 | 54% |
| EMA 크로스오버 fast=18, slow=101 |
39.1% | -58.5% | 0.85 | 0.67 | 10.7x | 15 | 58% |
| Supertrend period=19, mult=3.6 |
35.9% | -53.7% | 0.83 | 0.67 | 9.0x | 34 | 59% |
| 볼린저 밴드 돌파 n=45, k=2.2 |
30.1% | -49.4% | 0.80 | 0.61 | 6.6x | 30 | 33% |
| Buy and hold | 40.6% | -65.6% | 0.84 | 0.62 | 11.5x | 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