Trend-Following Backtester · Guide · backtest 한국어
equity · KR
카카오게임즈 backtest
10 trend-following strategies were compared on the full daily history of 카카오게임즈. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -28.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -29.5%, drawdown -93.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -40.1%, Sharpe 0.29, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.6%p higher than buy and hold, while drawdown improves by 53.5%p (CAGR 0.1%, MDD -28.4%, exposure 4%).
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=59, slow=180 |
4.0% | -40.1% | 0.29 | 0.10 | 1.3x | 4 | 18% |
| ROC 모멘텀 n=145, threshold=0.05 |
2.9% | -41.0% | 0.23 | 0.07 | 1.2x | 18 | 16% |
| 볼린저 밴드 돌파 n=21, k=3 |
1.5% | -34.8% | 0.17 | 0.04 | 1.1x | 12 | 8% |
| EMA 크로스오버 fast=37, slow=120 |
1.1% | -46.8% | 0.16 | 0.02 | 1.1x | 4 | 18% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=28, mult=2.1 |
0.2% | -46.6% | 0.13 | 0.00 | 1.0x | 20 | 13% |
| Supertrend period=29, mult=2.8 |
-1.1% | -65.4% | 0.12 | -0.02 | 0.9x | 34 | 31% |
| Donchian 채널 돌파 entryN=71, exitN=64 |
-1.1% | -55.9% | 0.10 | -0.02 | 0.9x | 6 | 25% |
| ADX / DI 방향성 period=15, threshold=39 |
0.1% | -28.4% | 0.09 | 0.00 | 1.0x | 6 | 4% |
| MACD fast=10, slow=28, signal=13 |
-10.8% | -83.9% | -0.14 | -0.13 | 0.5x | 95 | 50% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-11.8% | -66.1% | -0.20 | -0.18 | 0.5x | 70 | 38% |
| Buy and hold | -29.5% | -93.6% | -0.48 | -0.32 | 0.1x | 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 59-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 59-day average falls below the 180-day average