Trend-Following Backtester · Guide · backtest 한국어
equity · KR
피에스케이 backtest
10 trend-following strategies were compared on the full daily history of 피에스케이. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.9%, MDD -56.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 7.2%, drawdown -92.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.9%, MDD -56.7%, Sharpe 0.66, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 36.0%p (CAGR 20.9%, MDD -56.7%, exposure 53%).
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=16, slow=23 |
20.9% | -56.7% | 0.66 | 0.37 | 153.0x | 314 | 53% |
| Donchian 채널 돌파 entryN=28, exitN=83 |
17.4% | -77.3% | 0.59 | 0.23 | 69.8x | 45 | 72% |
| Supertrend period=12, mult=4 |
14.3% | -83.7% | 0.54 | 0.17 | 34.0x | 96 | 56% |
| EMA 크로스오버 fast=17, slow=196 |
14.3% | -61.9% | 0.53 | 0.23 | 34.3x | 61 | 54% |
| 볼린저 밴드 돌파 n=31, k=1.2 |
13.3% | -65.6% | 0.52 | 0.20 | 27.3x | 228 | 41% |
| ROC 모멘텀 n=80, threshold=-0.03 |
8.4% | -79.3% | 0.42 | 0.11 | 8.4x | 277 | 59% |
| MACD fast=18, slow=50, signal=29 |
8.9% | -79.9% | 0.41 | 0.11 | 9.5x | 234 | 55% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=29, mult=1.3 |
7.8% | -87.2% | 0.41 | 0.09 | 7.3x | 186 | 43% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.6% | -84.3% | 0.34 | 0.06 | 3.3x | 214 | 51% |
| ADX / DI 방향성 period=35, threshold=25 |
4.5% | -53.1% | 0.30 | 0.09 | 3.2x | 32 | 12% |
| Buy and hold | 7.2% | -92.8% | 0.43 | 0.08 | 6.3x | 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 16-day average price crosses above the 23-day average
- Sell — Sell (to cash) when the 16-day average falls below the 23-day average