Trend-Following Backtester · Guide · backtest 한국어
equity · KR
대덕전자 backtest
10 trend-following strategies were compared on the full daily history of 대덕전자. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 47.4%, MDD -39.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 44.3%, drawdown -66.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 51.1%, MDD -42.1%, Sharpe 1.13, 55% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 47.4%, MDD -39.9%, exposure 55%).
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=13, slow=22 |
51.1% | -42.1% | 1.13 | 1.21 | 12.9x | 68 | 55% |
| Parabolic SAR step=0.005, maxStep=0.18 |
47.4% | -39.9% | 1.11 | 1.19 | 11.0x | 44 | 55% |
| ROC 모멘텀 n=118, threshold=-0.04 |
50.5% | -61.0% | 1.07 | 0.83 | 12.6x | 43 | 61% |
| ADX / DI 방향성 period=16, threshold=29 |
36.2% | -33.3% | 1.04 | 1.09 | 6.8x | 26 | 27% |
| Supertrend period=29, mult=5 |
44.8% | -52.4% | 1.02 | 0.85 | 9.9x | 18 | 58% |
| 볼린저 밴드 돌파 n=17, k=1.3 |
38.0% | -59.8% | 0.98 | 0.63 | 7.3x | 84 | 43% |
| Donchian 채널 돌파 entryN=71, exitN=27 |
36.9% | -39.2% | 0.97 | 0.94 | 7.0x | 12 | 41% |
| EMA 크로스오버 fast=39, slow=131 |
39.8% | -61.0% | 0.94 | 0.65 | 8.0x | 9 | 53% |
| MACD fast=18, slow=32, signal=7 |
34.0% | -51.2% | 0.91 | 0.66 | 6.1x | 96 | 50% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=24, mult=1.7 |
31.1% | -41.8% | 0.87 | 0.74 | 5.4x | 40 | 41% |
| Buy and hold | 44.3% | -66.5% | 0.92 | 0.67 | 9.7x | 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 13-day average price crosses above the 22-day average
- Sell — Sell (to cash) when the 13-day average falls below the 22-day average