Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK리츠 backtest
10 trend-following strategies were compared on the full daily history of SK리츠. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -8.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.2%, drawdown -46.1%).
Sharpe leader (same as main): Supertrend — CAGR 9.1%, MDD -15.4%, Sharpe 0.68, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 1.3%, MDD -8.3%, exposure 7%).
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=13, mult=4 |
9.1% | -15.4% | 0.68 | 0.59 | 1.6x | 10 | 46% |
| Donchian 채널 돌파 entryN=105, exitN=16 |
7.3% | -15.4% | 0.64 | 0.47 | 1.4x | 6 | 24% |
| 볼린저 밴드 돌파 n=38, k=2.3 |
6.2% | -15.4% | 0.57 | 0.40 | 1.4x | 14 | 26% |
| SMA 크로스오버 fast=4, slow=55 |
6.9% | -17.6% | 0.53 | 0.39 | 1.4x | 30 | 48% |
| EMA 크로스오버 fast=17, slow=31 |
4.8% | -24.1% | 0.39 | 0.20 | 1.3x | 22 | 49% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=14, mult=3.4 |
2.8% | -12.2% | 0.38 | 0.23 | 1.2x | 8 | 16% |
| MACD fast=17, slow=26, signal=17 |
4.5% | -21.2% | 0.36 | 0.21 | 1.2x | 48 | 51% |
| ADX / DI 방향성 period=19, threshold=32 |
1.3% | -8.3% | 0.22 | 0.15 | 1.1x | 8 | 7% |
| Parabolic SAR step=0.01, maxStep=0.32 |
0.1% | -20.2% | 0.09 | 0.01 | 1.0x | 56 | 49% |
| ROC 모멘텀 n=34, threshold=0.01 |
-0.7% | -26.1% | 0.03 | -0.03 | 1.0x | 68 | 47% |
| Buy and hold | -1.2% | -46.1% | 0.08 | -0.03 | 0.9x | 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) — 13-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)