Trend-Following Backtester · Guide · backtest 한국어
equity · KR
호텔신라 backtest
10 trend-following strategies were compared on the full daily history of 호텔신라. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 6.5%, MDD -58.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.9%, drawdown -74.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.3%, MDD -68.6%, Sharpe 0.45, 55% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.6%, MDD -61.7%, exposure 63%.
Return/drawdown alternative: Supertrend — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 5.4%p (CAGR 6.5%, MDD -58.8%, exposure 55%).
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=16, slow=123 |
9.3% | -68.6% | 0.45 | 0.14 | 10.7x | 70 | 55% |
| ROC 모멘텀 n=98, threshold=-0.04 |
9.6% | -61.7% | 0.45 | 0.16 | 11.3x | 229 | 63% |
| Donchian 채널 돌파 entryN=106, exitN=60 |
8.0% | -75.6% | 0.42 | 0.11 | 7.8x | 36 | 50% |
| EMA 크로스오버 fast=41, slow=82 |
7.8% | -68.8% | 0.40 | 0.11 | 7.3x | 54 | 56% |
| Supertrend period=13, mult=5 |
6.5% | -58.8% | 0.36 | 0.11 | 5.3x | 74 | 55% |
| Parabolic SAR step=0.005, maxStep=0.16 |
4.2% | -57.8% | 0.29 | 0.07 | 2.9x | 212 | 51% |
| MACD fast=18, slow=29, signal=19 |
2.7% | -60.5% | 0.24 | 0.04 | 2.0x | 312 | 52% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=20, mult=1.7 |
1.4% | -63.1% | 0.18 | 0.02 | 1.4x | 160 | 38% |
| 볼린저 밴드 돌파 n=47, k=2.1 |
0.4% | -65.0% | 0.13 | 0.01 | 1.1x | 120 | 32% |
| ADX / DI 방향성 period=39, threshold=13 |
-0.4% | -78.1% | 0.10 | -0.00 | 0.9x | 140 | 33% |
| Buy and hold | 6.9% | -74.0% | 0.37 | 0.09 | 5.9x | 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 16-day average price crosses above the 123-day average
- Sell — Sell (to cash) when the 16-day average falls below the 123-day average