Trend-Following Backtester · Guide · backtest 한국어
equity · KR
스피어 backtest
10 trend-following strategies were compared on the full daily history of 스피어. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.4%, MDD -27.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.1%, drawdown -89.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 55.8%, MDD -44.7%, Sharpe 1.02, 42% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 49.8%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 9.4%, MDD -27.3%, 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=32, slow=62 |
55.8% | -44.7% | 1.02 | 1.25 | 11.2x | 16 | 42% |
| Supertrend period=28, mult=5 |
50.3% | -62.6% | 0.95 | 0.80 | 9.2x | 10 | 44% |
| Keltner 채널 돌파 emaPeriod=118, atrPeriod=39, mult=2.2 |
45.8% | -39.6% | 0.94 | 1.16 | 7.8x | 8 | 32% |
| ROC 모멘텀 n=70, threshold=0.16 |
45.4% | -45.8% | 0.93 | 0.99 | 7.7x | 24 | 32% |
| EMA 크로스오버 fast=31, slow=42 |
40.7% | -48.9% | 0.86 | 0.83 | 6.4x | 10 | 37% |
| Donchian 채널 돌파 entryN=83, exitN=56 |
38.0% | -44.6% | 0.84 | 0.85 | 5.8x | 6 | 35% |
| 볼린저 밴드 돌파 n=43, k=3 |
20.2% | -48.0% | 0.63 | 0.42 | 2.7x | 14 | 19% |
| ADX / DI 방향성 period=19, threshold=38 |
9.4% | -27.3% | 0.49 | 0.34 | 1.6x | 6 | 4% |
| Parabolic SAR step=0.005, maxStep=0.32 |
1.7% | -85.8% | 0.33 | 0.02 | 1.1x | 45 | 42% |
| MACD fast=13, slow=52, signal=17 |
-5.3% | -91.7% | 0.22 | -0.06 | 0.7x | 67 | 47% |
| Buy and hold | 6.1% | -89.3% | 0.50 | 0.07 | 1.4x | 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 32-day average price crosses above the 62-day average
- Sell — Sell (to cash) when the 32-day average falls below the 62-day average