Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SKC backtest
10 trend-following strategies were compared on the full daily history of SKC. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.5%, MDD -57.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.6%, drawdown -76.2%).
Sharpe leader (same as main): MACD — CAGR 11.3%, MDD -71.7%, Sharpe 0.47, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 4.5%p (CAGR 9.5%, MDD -57.4%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=16, slow=27, signal=17 |
11.3% | -71.7% | 0.47 | 0.16 | 17.2x | 326 | 52% |
| ADX / DI 방향성 period=33, threshold=11 |
9.5% | -57.4% | 0.44 | 0.17 | 11.2x | 240 | 45% |
| Donchian 채널 돌파 entryN=12, exitN=33 |
10.0% | -68.8% | 0.43 | 0.14 | 12.5x | 140 | 73% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=23, mult=1.9 |
7.6% | -43.8% | 0.42 | 0.17 | 7.1x | 170 | 22% |
| Parabolic SAR step=0.005, maxStep=0.22 |
8.2% | -61.8% | 0.40 | 0.13 | 8.1x | 220 | 49% |
| Supertrend period=23, mult=4.1 |
7.8% | -74.0% | 0.39 | 0.11 | 7.3x | 108 | 49% |
| 볼린저 밴드 돌파 n=21, k=1.4 |
6.2% | -74.3% | 0.35 | 0.08 | 5.0x | 310 | 39% |
| SMA 크로스오버 fast=12, slow=101 |
5.5% | -73.4% | 0.33 | 0.07 | 4.1x | 98 | 53% |
| ROC 모멘텀 n=98, threshold=-0.02 |
4.0% | -74.3% | 0.29 | 0.05 | 2.8x | 276 | 57% |
| EMA 크로스오버 fast=25, slow=98 |
3.8% | -80.1% | 0.28 | 0.05 | 2.7x | 84 | 53% |
| Buy and hold | 9.6% | -76.2% | 0.44 | 0.13 | 11.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (16/27) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line