Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK하이닉스 backtest
10 trend-following strategies were compared on the full daily history of SK하이닉스. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.2%, MDD -44.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.3%, drawdown -99.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.8%, MDD -59.8%, Sharpe 0.66, 24% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.9%, MDD -70.8%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 39.7%p (CAGR 9.2%, MDD -44.3%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=14, mult=2.5 |
15.8% | -59.8% | 0.66 | 0.26 | 50.3x | 116 | 24% |
| 볼린저 밴드 돌파 n=51, k=1.5 |
17.2% | -53.2% | 0.65 | 0.32 | 68.6x | 134 | 40% |
| SMA 크로스오버 fast=13, slow=101 |
18.9% | -70.8% | 0.65 | 0.27 | 100.8x | 90 | 56% |
| EMA 크로스오버 fast=9, slow=189 |
17.8% | -54.7% | 0.64 | 0.33 | 79.6x | 65 | 58% |
| Donchian 채널 돌파 entryN=48, exitN=23 |
15.3% | -53.0% | 0.60 | 0.29 | 44.8x | 100 | 41% |
| ROC 모멘텀 n=85, threshold=0.03 |
16.5% | -59.1% | 0.59 | 0.28 | 58.0x | 241 | 54% |
| Supertrend period=20, mult=4.7 |
13.1% | -83.7% | 0.51 | 0.16 | 26.3x | 94 | 51% |
| ADX / DI 방향성 period=15, threshold=31 |
9.2% | -44.3% | 0.47 | 0.21 | 10.3x | 98 | 14% |
| MACD fast=8, slow=58, signal=16 |
11.5% | -79.5% | 0.47 | 0.15 | 18.4x | 373 | 51% |
| Parabolic SAR step=0.015, maxStep=0.3 |
3.6% | -78.5% | 0.29 | 0.05 | 2.5x | 467 | 51% |
| Buy and hold | 4.3% | -99.5% | 0.37 | 0.04 | 3.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 26-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 26-day average