Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK텔레콤 backtest
10 trend-following strategies were compared on the full daily history of SK텔레콤. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 0.3%, drawdown -74.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.7%, MDD -64.3%, Sharpe 0.18, 48% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=35, slow=161 |
1.7% | -64.3% | 0.18 | 0.03 | 1.5x | 45 | 48% |
| EMA 크로스오버 fast=53, slow=115 |
0.9% | -61.3% | 0.15 | 0.01 | 1.3x | 39 | 48% |
| Donchian 채널 돌파 entryN=112, exitN=78 |
0.0% | -73.7% | 0.10 | 0.00 | 1.0x | 31 | 40% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
0.1% | -42.2% | 0.06 | 0.00 | 1.0x | 22 | 6% |
| ADX / DI 방향성 period=28, threshold=33 |
0.1% | -18.7% | 0.04 | 0.00 | 1.0x | 4 | 1% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=9, mult=4 |
-0.2% | -48.6% | 0.03 | -0.00 | 1.0x | 18 | 4% |
| Supertrend period=3, mult=5 |
-2.7% | -78.8% | 0.01 | -0.03 | 0.5x | 83 | 60% |
| ROC 모멘텀 n=145, threshold=-0.03 |
-5.6% | -89.2% | -0.15 | -0.06 | 0.2x | 267 | 55% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-7.1% | -90.6% | -0.22 | -0.08 | 0.1x | 337 | 48% |
| MACD fast=24, slow=57, signal=17 |
-9.7% | -94.5% | -0.36 | -0.10 | 0.1x | 297 | 50% |
| Buy and hold | 0.3% | -74.9% | 0.17 | 0.00 | 1.1x | 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 35-day average price crosses above the 161-day average
- Sell — Sell (to cash) when the 35-day average falls below the 161-day average