Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Savola Group backtest
10 trend-following strategies were compared on the full daily history of Savola Group. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.9%, MDD -40.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.9%, drawdown -71.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -40.2%, Sharpe 0.38, 47% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 6.9%, MDD -40.2%, exposure 47%).
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=38, slow=170 |
6.9% | -40.2% | 0.38 | 0.17 | 3.0x | 25 | 47% |
| EMA 크로스오버 fast=50, slow=129 |
4.3% | -54.7% | 0.29 | 0.08 | 2.0x | 23 | 48% |
| ADX / DI 방향성 period=27, threshold=27 |
2.4% | -44.1% | 0.22 | 0.06 | 1.5x | 16 | 8% |
| 볼린저 밴드 돌파 n=45, k=3.2 |
2.3% | -41.0% | 0.22 | 0.06 | 1.4x | 22 | 14% |
| Donchian 채널 돌파 entryN=85, exitN=43 |
1.3% | -43.5% | 0.18 | 0.03 | 1.2x | 30 | 42% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=29, mult=3.5 |
1.1% | -50.0% | 0.16 | 0.02 | 1.2x | 38 | 15% |
| Supertrend period=12, mult=3.6 |
-0.7% | -74.2% | 0.13 | -0.01 | 0.9x | 92 | 54% |
| ROC 모멘텀 n=102, threshold=-0.04 |
-2.2% | -58.5% | 0.08 | -0.04 | 0.7x | 163 | 56% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-6.8% | -80.4% | -0.11 | -0.08 | 0.3x | 190 | 49% |
| MACD fast=17, slow=53, signal=15 |
-7.8% | -88.9% | -0.15 | -0.09 | 0.3x | 172 | 48% |
| Buy and hold | 0.9% | -71.3% | 0.21 | 0.01 | 1.2x | 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 38-day average price crosses above the 170-day average
- Sell — Sell (to cash) when the 38-day average falls below the 170-day average