Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성전기우 backtest
10 trend-following strategies were compared on the full daily history of 삼성전기우. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 21.5%, MDD -45.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 16.4%, drawdown -69.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 21.5%, MDD -45.7%, Sharpe 0.93, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 23.7%, MDD -50.0%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 21.5%, MDD -45.7%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=2.8 |
21.5% | -45.7% | 0.93 | 0.47 | 57.6x | 72 | 20% |
| Supertrend period=26, mult=3.9 |
23.2% | -46.0% | 0.89 | 0.50 | 76.7x | 76 | 45% |
| SMA 크로스오버 fast=11, slow=27 |
23.7% | -50.0% | 0.88 | 0.47 | 83.7x | 184 | 51% |
| EMA 크로스오버 fast=7, slow=23 |
23.0% | -61.0% | 0.85 | 0.38 | 74.7x | 204 | 50% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=17, mult=1.6 |
20.1% | -53.9% | 0.84 | 0.37 | 45.6x | 132 | 31% |
| Donchian 채널 돌파 entryN=94, exitN=21 |
19.2% | -48.5% | 0.83 | 0.40 | 38.8x | 42 | 22% |
| MACD fast=24, slow=51, signal=18 |
20.7% | -66.3% | 0.80 | 0.31 | 50.2x | 178 | 52% |
| ADX / DI 방향성 period=36, threshold=12 |
20.0% | -61.8% | 0.77 | 0.32 | 44.5x | 140 | 37% |
| ROC 모멘텀 n=31, threshold=0.02 |
18.4% | -67.7% | 0.73 | 0.27 | 33.7x | 314 | 45% |
| Parabolic SAR step=0.005, maxStep=0.24 |
14.4% | -61.1% | 0.62 | 0.23 | 16.3x | 162 | 49% |
| Buy and hold | 16.4% | -69.5% | 0.59 | 0.24 | 23.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 26-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 26-day middle average