Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성전기 backtest
10 trend-following strategies were compared on the full daily history of 삼성전기. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.5%, MDD -43.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.4%, drawdown -75.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.3%, MDD -46.6%, Sharpe 0.73, 30% exposure.
CAGR reference leader: Supertrend — CAGR 17.5%, MDD -59.9%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 12.5%, MDD -43.5%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=24, mult=2.3 |
16.3% | -46.6% | 0.73 | 0.35 | 55.8x | 116 | 30% |
| ADX / DI 방향성 period=35, threshold=23 |
12.5% | -43.5% | 0.70 | 0.29 | 22.6x | 28 | 11% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
14.4% | -46.8% | 0.70 | 0.31 | 35.8x | 62 | 24% |
| Supertrend period=5, mult=4.7 |
17.5% | -59.9% | 0.67 | 0.29 | 71.9x | 90 | 56% |
| Donchian 채널 돌파 entryN=28, exitN=27 |
15.5% | -61.2% | 0.63 | 0.25 | 46.2x | 108 | 51% |
| EMA 크로스오버 fast=6, slow=89 |
15.4% | -61.0% | 0.62 | 0.25 | 44.8x | 138 | 51% |
| MACD fast=23, slow=58, signal=24 |
15.6% | -58.1% | 0.62 | 0.27 | 47.1x | 216 | 53% |
| ROC 모멘텀 n=41, threshold=0.1 |
13.0% | -69.0% | 0.60 | 0.19 | 25.9x | 362 | 30% |
| SMA 크로스오버 fast=21, slow=50 |
14.9% | -62.4% | 0.60 | 0.24 | 40.5x | 132 | 53% |
| Parabolic SAR step=0.045, maxStep=0.08 |
8.0% | -76.7% | 0.41 | 0.10 | 7.7x | 542 | 52% |
| Buy and hold | 10.4% | -75.5% | 0.45 | 0.14 | 14.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 38-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 38-day average