Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK backtest
10 trend-following strategies were compared on the full daily history of SK. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.6%, drawdown -67.5%).
Sharpe leader (same as main): Supertrend — CAGR 16.4%, MDD -58.9%, Sharpe 0.67, 53% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=5 |
16.4% | -58.9% | 0.67 | 0.28 | 12.8x | 40 | 53% |
| Parabolic SAR step=0.01, maxStep=0.08 |
13.3% | -57.9% | 0.59 | 0.23 | 8.1x | 195 | 50% |
| EMA 크로스오버 fast=39, slow=106 |
14.0% | -55.6% | 0.58 | 0.25 | 9.0x | 37 | 52% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=12, mult=2.3 |
11.6% | -35.6% | 0.56 | 0.33 | 6.4x | 54 | 34% |
| Donchian 채널 돌파 entryN=47, exitN=88 |
12.4% | -53.5% | 0.53 | 0.23 | 7.1x | 25 | 64% |
| SMA 크로스오버 fast=24, slow=146 |
10.4% | -57.6% | 0.48 | 0.18 | 5.2x | 39 | 52% |
| ADX / DI 방향성 period=30, threshold=17 |
8.4% | -48.5% | 0.46 | 0.17 | 3.9x | 76 | 26% |
| ROC 모멘텀 n=105, threshold=0.13 |
8.1% | -68.4% | 0.42 | 0.12 | 3.7x | 95 | 33% |
| 볼린저 밴드 돌파 n=36, k=2.1 |
6.9% | -48.3% | 0.40 | 0.14 | 3.1x | 82 | 30% |
| MACD fast=8, slow=51, signal=19 |
6.4% | -62.4% | 0.37 | 0.10 | 2.8x | 227 | 48% |
| Buy and hold | 17.6% | -67.5% | 0.61 | 0.26 | 15.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)