Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK가스 backtest
10 trend-following strategies were compared on the full daily history of SK가스. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.7%, MDD -47.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.1%, drawdown -65.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -47.6%, Sharpe 0.52, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p lower than buy and hold, while drawdown improves by 18.0%p (CAGR 9.7%, MDD -47.6%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=69, exitN=60 |
9.7% | -47.6% | 0.52 | 0.20 | 11.7x | 38 | 54% |
| SMA 크로스오버 fast=28, slow=210 |
9.3% | -46.6% | 0.49 | 0.20 | 10.6x | 44 | 60% |
| EMA 크로스오버 fast=54, slow=192 |
9.2% | -49.5% | 0.48 | 0.18 | 10.3x | 34 | 62% |
| Supertrend period=13, mult=4.6 |
8.9% | -52.4% | 0.47 | 0.17 | 9.6x | 65 | 64% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=18, mult=3.3 |
5.9% | -45.9% | 0.41 | 0.13 | 4.6x | 74 | 30% |
| ROC 모멘텀 n=79, threshold=-0.1 |
7.7% | -61.3% | 0.41 | 0.13 | 7.2x | 180 | 82% |
| MACD fast=16, slow=53, signal=24 |
6.9% | -53.8% | 0.40 | 0.13 | 5.9x | 245 | 50% |
| 볼린저 밴드 돌파 n=69, k=3.3 |
5.2% | -45.7% | 0.39 | 0.11 | 3.8x | 44 | 22% |
| ADX / DI 방향성 period=44, threshold=8 |
6.5% | -63.7% | 0.38 | 0.10 | 5.3x | 239 | 58% |
| Parabolic SAR step=0.01, maxStep=0.32 |
5.9% | -52.7% | 0.36 | 0.11 | 4.6x | 325 | 52% |
| Buy and hold | 12.1% | -65.5% | 0.52 | 0.18 | 20.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 69 days
- Sell — Sell when price breaks below the lowest low of the last 60 days