Trend-Following Backtester · Guide · backtest 한국어
equity · KR
샘씨엔에스 backtest
10 trend-following strategies were compared on the full daily history of 샘씨엔에스. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.6%, MDD -22.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.6%, drawdown -64.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.7%, MDD -44.4%, Sharpe 0.75, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 19.1%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR 9.6%, MDD -22.6%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=192 |
27.7% | -44.4% | 0.75 | 0.62 | 3.6x | 5 | 46% |
| ROC 모멘텀 n=102, threshold=0.12 |
20.5% | -39.8% | 0.64 | 0.51 | 2.7x | 33 | 37% |
| EMA 크로스오버 fast=21, slow=172 |
18.2% | -44.4% | 0.59 | 0.41 | 2.4x | 5 | 40% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=18, mult=2.2 |
9.6% | -22.6% | 0.59 | 0.43 | 1.6x | 14 | 6% |
| Donchian 채널 돌파 entryN=98, exitN=52 |
14.2% | -39.3% | 0.53 | 0.36 | 2.0x | 6 | 37% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
6.2% | -17.8% | 0.44 | 0.35 | 1.4x | 6 | 5% |
| Parabolic SAR step=0.07, maxStep=0.3 |
7.1% | -57.2% | 0.38 | 0.12 | 1.4x | 199 | 47% |
| ADX / DI 방향성 period=27, threshold=9 |
1.4% | -60.9% | 0.28 | 0.02 | 1.1x | 69 | 61% |
| Supertrend period=8, mult=4.6 |
0.3% | -65.6% | 0.26 | 0.00 | 1.0x | 14 | 69% |
| MACD fast=16, slow=22, signal=10 |
-5.6% | -59.4% | 0.05 | -0.09 | 0.7x | 88 | 47% |
| Buy and hold | 8.6% | -64.0% | 0.44 | 0.13 | 1.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 30-day average falls below the 192-day average