Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼화콘덴서 backtest
10 trend-following strategies were compared on the full daily history of 삼화콘덴서. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 12.2%, drawdown -83.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.8%, MDD -76.5%, Sharpe 0.56, 45% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=29, slow=147 |
16.8% | -76.5% | 0.56 | 0.22 | 61.6x | 45 | 45% |
| EMA 크로스오버 fast=44, slow=80 |
15.4% | -78.4% | 0.53 | 0.20 | 44.7x | 53 | 46% |
| ADX / DI 방향성 period=49, threshold=11 |
15.1% | -78.2% | 0.53 | 0.19 | 42.1x | 100 | 52% |
| Supertrend period=16, mult=1.7 |
14.3% | -80.1% | 0.52 | 0.18 | 35.1x | 360 | 44% |
| Donchian 채널 돌파 entryN=15, exitN=65 |
12.0% | -74.9% | 0.47 | 0.16 | 20.3x | 89 | 73% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=24, mult=2.1 |
10.6% | -72.2% | 0.45 | 0.15 | 14.7x | 118 | 30% |
| ROC 모멘텀 n=103, threshold=0.05 |
10.1% | -78.8% | 0.43 | 0.13 | 12.8x | 233 | 42% |
| MACD fast=17, slow=59, signal=23 |
9.2% | -73.3% | 0.42 | 0.13 | 10.4x | 234 | 50% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
9.2% | -76.0% | 0.42 | 0.12 | 10.4x | 78 | 25% |
| Parabolic SAR step=0.035, maxStep=0.1 |
8.8% | -80.8% | 0.41 | 0.11 | 9.4x | 576 | 46% |
| Buy and hold | 12.2% | -83.2% | 0.49 | 0.15 | 21.5x | 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 29-day average price crosses above the 147-day average
- Sell — Sell (to cash) when the 29-day average falls below the 147-day average