Trend-Following Backtester · Guide · backtest 한국어
equity · KR
카카오 backtest
10 trend-following strategies were compared on the full daily history of 카카오. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.5%, MDD -45.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.4%, drawdown -95.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.7%, MDD -63.4%, Sharpe 0.63, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.2%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 6.5%, MDD -45.2%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=78, slow=139 |
16.7% | -63.4% | 0.63 | 0.26 | 60.2x | 38 | 51% |
| EMA 크로스오버 fast=42, slow=146 |
14.1% | -50.5% | 0.58 | 0.28 | 33.0x | 32 | 48% |
| Donchian 채널 돌파 entryN=151, exitN=26 |
8.7% | -50.2% | 0.48 | 0.17 | 9.1x | 40 | 28% |
| ROC 모멘텀 n=113, threshold=0.11 |
9.8% | -73.1% | 0.46 | 0.13 | 11.8x | 192 | 39% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=8, mult=1.1 |
8.6% | -60.4% | 0.43 | 0.14 | 8.9x | 324 | 29% |
| Parabolic SAR step=0.015, maxStep=0.38 |
9.4% | -55.8% | 0.43 | 0.17 | 10.9x | 439 | 48% |
| Supertrend period=8, mult=3.6 |
8.3% | -61.2% | 0.40 | 0.14 | 8.2x | 124 | 54% |
| 볼린저 밴드 돌파 n=55, k=2.3 |
6.5% | -45.2% | 0.39 | 0.14 | 5.3x | 68 | 25% |
| ADX / DI 방향성 period=9, threshold=26 |
4.9% | -69.6% | 0.31 | 0.07 | 3.6x | 368 | 31% |
| MACD fast=13, slow=52, signal=6 |
3.2% | -70.5% | 0.27 | 0.05 | 2.3x | 509 | 49% |
| Buy and hold | -1.4% | -95.1% | 0.22 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 78-day average price crosses above the 139-day average
- Sell — Sell (to cash) when the 78-day average falls below the 139-day average