Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성에스디에스 backtest
10 trend-following strategies were compared on the full daily history of 삼성에스디에스. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.6%, MDD -48.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.0%, drawdown -74.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -48.7%, Sharpe 0.30, 37% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 4.6%, MDD -48.7%, exposure 37%).
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=31, slow=159 |
4.6% | -48.7% | 0.30 | 0.09 | 1.7x | 19 | 37% |
| EMA 크로스오버 fast=48, slow=115 |
2.1% | -48.7% | 0.21 | 0.04 | 1.3x | 19 | 35% |
| ROC 모멘텀 n=165, threshold=0.01 |
2.1% | -48.7% | 0.21 | 0.04 | 1.3x | 61 | 39% |
| ADX / DI 방향성 period=28, threshold=17 |
0.6% | -55.2% | 0.14 | 0.01 | 1.1x | 49 | 23% |
| Donchian 채널 돌파 entryN=119, exitN=61 |
0.6% | -51.0% | 0.14 | 0.01 | 1.1x | 9 | 25% |
| Supertrend period=37, mult=4.7 |
-1.7% | -66.1% | 0.07 | -0.03 | 0.8x | 38 | 37% |
| MACD fast=15, slow=57, signal=11 |
-3.0% | -66.3% | 0.04 | -0.04 | 0.7x | 145 | 50% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=23, mult=1.7 |
-2.3% | -41.3% | -0.08 | -0.06 | 0.8x | 54 | 8% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-6.7% | -72.2% | -0.09 | -0.09 | 0.4x | 189 | 46% |
| 볼린저 밴드 돌파 n=40, k=2.2 |
-6.6% | -61.5% | -0.17 | -0.11 | 0.4x | 53 | 21% |
| Buy and hold | 0.0% | -74.4% | 0.20 | 0.00 | 1.0x | 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 31-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 31-day average falls below the 159-day average