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 20.5%, MDD -60.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 21.1%, drawdown -80.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.0%, MDD -64.0%, Sharpe 0.68, 51% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 15.9%p (CAGR 20.5%, 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 |
22.0% | -64.0% | 0.68 | 0.34 | 202.3x | 169 | 51% |
| Donchian 채널 돌파 entryN=18, exitN=20 |
20.5% | -60.1% | 0.64 | 0.34 | 142.6x | 127 | 56% |
| Supertrend period=12, mult=2.2 |
18.1% | -58.3% | 0.61 | 0.31 | 84.8x | 253 | 46% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
15.1% | -62.2% | 0.56 | 0.24 | 42.2x | 125 | 34% |
| Parabolic SAR step=0.01, maxStep=0.12 |
15.3% | -68.7% | 0.55 | 0.22 | 44.9x | 319 | 48% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=26, mult=1.3 |
14.9% | -69.1% | 0.54 | 0.22 | 40.5x | 173 | 40% |
| EMA 크로스오버 fast=19, slow=29 |
15.0% | -74.8% | 0.54 | 0.20 | 41.9x | 157 | 49% |
| MACD fast=17, slow=56, signal=24 |
14.2% | -72.4% | 0.52 | 0.20 | 34.0x | 239 | 51% |
| ROC 모멘텀 n=41, threshold=0.09 |
11.9% | -68.9% | 0.48 | 0.17 | 20.1x | 345 | 32% |
| ADX / DI 방향성 period=12, threshold=16 |
9.8% | -82.1% | 0.43 | 0.12 | 12.2x | 441 | 51% |
| Buy and hold | 21.1% | -80.0% | 0.62 | 0.26 | 165.5x | 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 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