Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성증권 backtest
10 trend-following strategies were compared on the full daily history of 삼성증권. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.6%, MDD -62.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.7%, drawdown -80.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -62.6%, Sharpe 0.33, 49% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 18.2%p (CAGR 5.6%, MDD -62.6%, exposure 49%).
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=28, slow=218 |
5.6% | -62.6% | 0.33 | 0.09 | 4.3x | 41 | 49% |
| Donchian 채널 돌파 entryN=90, exitN=73 |
5.1% | -63.4% | 0.32 | 0.08 | 3.7x | 36 | 49% |
| EMA 크로스오버 fast=41, slow=123 |
4.1% | -76.7% | 0.28 | 0.05 | 2.9x | 55 | 49% |
| ROC 모멘텀 n=147, threshold=-0.04 |
3.3% | -85.6% | 0.26 | 0.04 | 2.3x | 239 | 57% |
| 볼린저 밴드 돌파 n=25, k=2.4 |
2.6% | -49.1% | 0.23 | 0.05 | 2.0x | 122 | 19% |
| MACD fast=15, slow=24, signal=18 |
1.6% | -73.5% | 0.20 | 0.02 | 1.5x | 342 | 50% |
| Supertrend period=15, mult=3.3 |
1.0% | -62.6% | 0.17 | 0.02 | 1.3x | 170 | 49% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=11, mult=1.8 |
0.4% | -61.2% | 0.13 | 0.01 | 1.1x | 172 | 32% |
| ADX / DI 방향성 period=17, threshold=27 |
-0.2% | -56.2% | 0.07 | -0.00 | 1.0x | 104 | 13% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-4.0% | -84.4% | -0.00 | -0.05 | 0.3x | 230 | 52% |
| Buy and hold | 3.7% | -80.8% | 0.29 | 0.05 | 2.7x | 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 28-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 28-day average falls below the 218-day average