Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼양식품 backtest
10 trend-following strategies were compared on the full daily history of 삼양식품. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 19.9%, MDD -60.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 20.0%, drawdown -80.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.2%, MDD -64.0%, Sharpe 0.67, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 15.9%p (CAGR 19.9%, MDD -60.1%, exposure 56%).
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=36, slow=47 |
21.2% | -64.0% | 0.67 | 0.33 | 163.7x | 168 | 51% |
| Donchian 채널 돌파 entryN=18, exitN=20 |
19.9% | -60.1% | 0.63 | 0.33 | 124.9x | 126 | 56% |
| Supertrend period=12, mult=2.2 |
17.0% | -58.3% | 0.58 | 0.29 | 64.7x | 253 | 46% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
14.5% | -62.2% | 0.54 | 0.23 | 36.2x | 124 | 34% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=1.3 |
14.3% | -69.1% | 0.53 | 0.21 | 34.7x | 172 | 40% |
| Parabolic SAR step=0.01, maxStep=0.12 |
14.2% | -68.7% | 0.52 | 0.21 | 34.3x | 319 | 48% |
| EMA 크로스오버 fast=19, slow=29 |
13.9% | -74.8% | 0.52 | 0.19 | 32.0x | 157 | 49% |
| MACD fast=17, slow=56, signal=24 |
13.0% | -72.4% | 0.50 | 0.18 | 26.0x | 239 | 50% |
| ROC 모멘텀 n=41, threshold=0.09 |
11.3% | -68.9% | 0.47 | 0.16 | 17.0x | 342 | 32% |
| ADX / DI 방향성 period=12, threshold=16 |
8.7% | -82.1% | 0.41 | 0.11 | 9.3x | 441 | 51% |
| Buy and hold | 20.0% | -80.0% | 0.60 | 0.25 | 126.3x | 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 36-day average price crosses above the 47-day average
- Sell — Sell (to cash) when the 36-day average falls below the 47-day average