Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성물산 backtest
10 trend-following strategies were compared on the full daily history of 삼성물산. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -62.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.3%, MDD -62.2%, Sharpe 0.45, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.09 |
10.3% | -62.2% | 0.45 | 0.16 | 3.1x | 19 | 100% |
| SMA 크로스오버 fast=46, slow=161 |
7.7% | -49.5% | 0.40 | 0.16 | 2.4x | 19 | 45% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=9, mult=4 |
4.7% | -31.6% | 0.34 | 0.15 | 1.7x | 16 | 13% |
| ADX / DI 방향성 period=28, threshold=15 |
5.1% | -36.0% | 0.32 | 0.14 | 1.8x | 58 | 34% |
| 볼린저 밴드 돌파 n=54, k=3.1 |
2.7% | -31.6% | 0.24 | 0.08 | 1.4x | 16 | 15% |
| Parabolic SAR step=0.035, maxStep=0.08 |
2.4% | -55.6% | 0.23 | 0.04 | 1.3x | 215 | 48% |
| Supertrend period=24, mult=1.8 |
2.4% | -62.6% | 0.22 | 0.04 | 1.3x | 153 | 47% |
| Donchian 채널 돌파 entryN=94, exitN=46 |
2.1% | -59.2% | 0.21 | 0.04 | 1.3x | 20 | 32% |
| EMA 크로스오버 fast=8, slow=28 |
1.5% | -67.0% | 0.20 | 0.02 | 1.2x | 113 | 50% |
| MACD fast=17, slow=30, signal=18 |
1.2% | -57.7% | 0.18 | 0.02 | 1.2x | 127 | 52% |
| Buy and hold | 10.6% | -62.2% | 0.46 | 0.17 | 3.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -9%
- Sell — Sell when the 1-day return drops to -9% or below