Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK텔레콤 backtest
10 trend-following strategies were compared on the full daily history of SK텔레콤. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -18.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.2%, drawdown -74.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.1%, MDD -64.3%, Sharpe 0.16, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 10.7%p (CAGR 0.1%, MDD -18.7%, exposure 1%).
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 |
1.1% | -64.3% | 0.16 | 0.02 | 1.3x | 45 | 48% |
| EMA 크로스오버 fast=53, slow=115 |
0.4% | -61.3% | 0.12 | 0.01 | 1.1x | 39 | 47% |
| Donchian 채널 돌파 entryN=112, exitN=78 |
-0.5% | -73.7% | 0.07 | -0.01 | 0.9x | 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 |
-2.4% | -78.8% | 0.02 | -0.03 | 0.5x | 82 | 60% |
| ROC 모멘텀 n=145, threshold=-0.03 |
-6.2% | -89.2% | -0.18 | -0.07 | 0.2x | 267 | 55% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-6.9% | -90.6% | -0.21 | -0.08 | 0.1x | 336 | 48% |
| MACD fast=24, slow=57, signal=17 |
-9.5% | -94.3% | -0.35 | -0.10 | 0.1x | 296 | 50% |
| Buy and hold | -0.2% | -74.9% | 0.15 | -0.00 | 0.9x | 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