Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성생명 backtest
10 trend-following strategies were compared on the full daily history of 삼성생명. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.6%, MDD -24.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.2%, drawdown -76.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.6%, MDD -24.0%, Sharpe 0.46, 13% exposure.
CAGR reference leader: Supertrend — CAGR 7.2%, MDD -53.8%, exposure 59%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 52.8%p (CAGR 6.6%, MDD -24.0%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=24, k=2.8 |
6.6% | -24.0% | 0.46 | 0.28 | 2.8x | 44 | 13% |
| ADX / DI 방향성 period=39, threshold=25 |
6.1% | -34.7% | 0.46 | 0.18 | 2.6x | 6 | 10% |
| Supertrend period=15, mult=3.9 |
7.2% | -53.8% | 0.40 | 0.13 | 3.1x | 62 | 59% |
| Donchian 채널 돌파 entryN=12, exitN=52 |
7.1% | -54.3% | 0.39 | 0.13 | 3.1x | 57 | 73% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=3.9 |
4.9% | -41.4% | 0.35 | 0.12 | 2.2x | 26 | 16% |
| SMA 크로스오버 fast=31, slow=202 |
5.3% | -46.9% | 0.33 | 0.11 | 2.3x | 25 | 50% |
| EMA 크로스오버 fast=38, slow=104 |
4.3% | -51.3% | 0.29 | 0.08 | 2.0x | 37 | 51% |
| ROC 모멘텀 n=99, threshold=0.18 |
2.9% | -46.9% | 0.24 | 0.06 | 1.6x | 79 | 16% |
| MACD fast=17, slow=52, signal=20 |
2.1% | -56.2% | 0.21 | 0.04 | 1.4x | 183 | 48% |
| Parabolic SAR step=0.01, maxStep=0.18 |
0.2% | -62.9% | 0.13 | 0.00 | 1.0x | 205 | 47% |
| Buy and hold | 6.2% | -76.8% | 0.35 | 0.08 | 2.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 24-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 24-day middle average