Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼아알미늄 backtest
10 trend-following strategies were compared on the full daily history of 삼아알미늄. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 11.1%, drawdown -88.4%).
Sharpe leader (same as main): Supertrend — CAGR 11.7%, MDD -71.3%, Sharpe 0.46, 52% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=3.9 |
11.7% | -71.3% | 0.46 | 0.16 | 19.0x | 78 | 52% |
| SMA 크로스오버 fast=56, slow=125 |
11.3% | -84.3% | 0.45 | 0.13 | 17.3x | 55 | 52% |
| EMA 크로스오버 fast=38, slow=52 |
9.0% | -86.5% | 0.41 | 0.10 | 9.8x | 82 | 51% |
| ADX / DI 방향성 period=38, threshold=11 |
8.9% | -93.3% | 0.41 | 0.10 | 9.6x | 160 | 50% |
| Donchian 채널 돌파 entryN=16, exitN=64 |
7.9% | -85.9% | 0.40 | 0.09 | 7.5x | 64 | 79% |
| Parabolic SAR step=0.005, maxStep=0.22 |
2.2% | -87.9% | 0.27 | 0.02 | 1.8x | 186 | 48% |
| ROC 모멘텀 n=122, threshold=0.02 |
0.2% | -98.0% | 0.24 | 0.00 | 1.1x | 310 | 50% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=13, mult=3.3 |
-1.0% | -88.9% | 0.16 | -0.01 | 0.8x | 62 | 20% |
| 볼린저 밴드 돌파 n=17, k=2.4 |
-1.8% | -94.5% | 0.14 | -0.02 | 0.6x | 204 | 19% |
| MACD fast=26, slow=46, signal=25 |
-6.5% | -96.1% | 0.09 | -0.07 | 0.2x | 246 | 48% |
| Buy and hold | 11.1% | -88.4% | 0.47 | 0.13 | 16.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 3.9× band
- Sell — Sell when price drops below the trend line (flips down)