Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성카드 backtest
10 trend-following strategies were compared on the full daily history of 삼성카드. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.7%, MDD -24.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR -1.4%, drawdown -65.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.7%, MDD -24.3%, Sharpe 0.14, 4% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 0.7%, MDD -24.3%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=12, mult=3.5 |
0.7% | -24.3% | 0.14 | 0.03 | 1.1x | 14 | 4% |
| SMA 크로스오버 fast=31, slow=207 |
-0.4% | -61.9% | 0.07 | -0.01 | 0.9x | 38 | 44% |
| EMA 크로스오버 fast=18, slow=137 |
-1.4% | -62.2% | 0.02 | -0.02 | 0.8x | 44 | 47% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-1.9% | -59.4% | 0.02 | -0.03 | 0.7x | 146 | 52% |
| Supertrend period=10, mult=2.7 |
-2.0% | -52.7% | 0.01 | -0.04 | 0.7x | 130 | 51% |
| ADX / DI 방향성 period=39, threshold=13 |
-1.3% | -57.0% | -0.01 | -0.02 | 0.8x | 102 | 26% |
| MACD fast=21, slow=39, signal=18 |
-2.4% | -60.5% | -0.01 | -0.04 | 0.6x | 185 | 53% |
| Donchian 채널 돌파 entryN=111, exitN=61 |
-1.5% | -58.9% | -0.01 | -0.03 | 0.7x | 24 | 33% |
| ROC 모멘텀 n=126, threshold=0.1 |
-1.6% | -50.2% | -0.04 | -0.03 | 0.7x | 122 | 23% |
| 볼린저 밴드 돌파 n=51, k=1.2 |
-2.6% | -60.6% | -0.06 | -0.04 | 0.6x | 116 | 37% |
| Buy and hold | -1.4% | -65.3% | 0.11 | -0.02 | 0.8x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average