Trend-Following Backtester · Guide · backtest 한국어
equity · KR
에스엠 backtest
10 trend-following strategies were compared on the full daily history of 에스엠. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 19.2%, MDD -49.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.5%, drawdown -97.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 19.2%, MDD -49.1%, Sharpe 0.76, 14% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 20.6%, MDD -66.5%, exposure 45%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 47.9%p (CAGR 19.2%, MDD -49.1%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=73, k=3.5 |
19.2% | -49.1% | 0.76 | 0.39 | 101.1x | 20 | 14% |
| Donchian 채널 돌파 entryN=77, exitN=40 |
20.5% | -66.3% | 0.69 | 0.31 | 133.5x | 44 | 35% |
| ADX / DI 방향성 period=34, threshold=24 |
15.4% | -50.9% | 0.67 | 0.30 | 42.9x | 24 | 13% |
| EMA 크로스오버 fast=44, slow=201 |
20.6% | -66.5% | 0.67 | 0.31 | 137.4x | 22 | 45% |
| SMA 크로스오버 fast=31, slow=217 |
20.1% | -81.2% | 0.65 | 0.25 | 121.3x | 26 | 48% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=22, mult=4 |
13.0% | -62.8% | 0.58 | 0.21 | 25.0x | 42 | 14% |
| ROC 모멘텀 n=118, threshold=0.09 |
13.2% | -84.8% | 0.52 | 0.16 | 26.2x | 176 | 39% |
| Supertrend period=17, mult=3.2 |
11.6% | -92.4% | 0.47 | 0.13 | 17.9x | 150 | 47% |
| Parabolic SAR step=0.025, maxStep=0.22 |
2.6% | -90.8% | 0.27 | 0.03 | 2.0x | 604 | 48% |
| MACD fast=16, slow=35, signal=16 |
1.8% | -93.2% | 0.26 | 0.02 | 1.6x | 330 | 51% |
| Buy and hold | 9.5% | -97.0% | 0.45 | 0.10 | 10.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 73-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 73-day middle average