Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성중공업 backtest
10 trend-following strategies were compared on the full daily history of 삼성중공업. 3 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.7%, MDD -51.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.3%, drawdown -92.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 9.3%, MDD -73.7%, Sharpe 0.44, 50% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 6.7%, MDD -51.5%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.16 |
9.3% | -73.7% | 0.44 | 0.13 | 10.7x | 198 | 50% |
| MACD fast=14, slow=52, signal=23 |
9.1% | -72.4% | 0.43 | 0.13 | 10.1x | 264 | 50% |
| ADX / DI 방향성 period=19, threshold=38 |
3.4% | -27.0% | 0.39 | 0.13 | 2.4x | 18 | 4% |
| Donchian 채널 돌파 entryN=139, exitN=72 |
6.7% | -51.5% | 0.38 | 0.13 | 5.6x | 26 | 34% |
| 볼린저 밴드 돌파 n=28, k=2.5 |
5.5% | -50.4% | 0.35 | 0.11 | 4.2x | 118 | 22% |
| SMA 크로스오버 fast=23, slow=164 |
5.8% | -86.0% | 0.34 | 0.07 | 4.5x | 58 | 53% |
| ROC 모멘텀 n=119, threshold=0.08 |
5.6% | -67.6% | 0.33 | 0.08 | 4.2x | 218 | 43% |
| EMA 크로스오버 fast=59, slow=169 |
4.9% | -87.6% | 0.31 | 0.06 | 3.6x | 40 | 52% |
| Supertrend period=25, mult=2.4 |
4.6% | -81.1% | 0.30 | 0.06 | 3.3x | 264 | 50% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=26, mult=2.2 |
3.1% | -58.7% | 0.25 | 0.05 | 2.2x | 136 | 29% |
| Buy and hold | 6.3% | -92.8% | 0.36 | 0.07 | 5.1x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots