Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK디스커버리 backtest
10 trend-following strategies were compared on the full daily history of SK디스커버리. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.9%, MDD -57.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.8%, drawdown -86.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.3%, MDD -64.9%, Sharpe 0.53, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 11.9%, MDD -57.0%, exposure 53%).
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=24, slow=229 |
13.3% | -64.9% | 0.53 | 0.21 | 27.9x | 38 | 54% |
| EMA 크로스오버 fast=52, slow=157 |
11.9% | -57.0% | 0.50 | 0.21 | 19.8x | 38 | 53% |
| 볼린저 밴드 돌파 n=73, k=1.4 |
8.4% | -64.9% | 0.42 | 0.13 | 8.6x | 100 | 35% |
| Donchian 채널 돌파 entryN=32, exitN=68 |
9.0% | -70.0% | 0.42 | 0.13 | 9.8x | 58 | 66% |
| ROC 모멘텀 n=61, threshold=0.07 |
7.8% | -65.5% | 0.40 | 0.12 | 7.3x | 302 | 37% |
| ADX / DI 방향성 period=16, threshold=39 |
5.4% | -31.8% | 0.39 | 0.17 | 4.0x | 38 | 7% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=1.7 |
6.9% | -74.1% | 0.37 | 0.09 | 6.0x | 142 | 36% |
| Supertrend period=12, mult=5 |
4.0% | -75.6% | 0.28 | 0.05 | 2.8x | 79 | 53% |
| Parabolic SAR step=0.02, maxStep=0.1 |
3.7% | -78.1% | 0.27 | 0.05 | 2.6x | 484 | 50% |
| MACD fast=9, slow=59, signal=15 |
1.5% | -79.3% | 0.21 | 0.02 | 1.5x | 388 | 52% |
| Buy and hold | 6.8% | -86.9% | 0.37 | 0.08 | 5.8x | 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 24-day average price crosses above the 229-day average
- Sell — Sell (to cash) when the 24-day average falls below the 229-day average