Trend-Following Backtester · Guide · backtest 한국어
equity · KR
동진쎄미켐 backtest
10 trend-following strategies were compared on the full daily history of 동진쎄미켐. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.2%, MDD -67.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.9%, drawdown -88.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.2%, MDD -67.1%, Sharpe 0.44, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR 10.2%, MDD -67.1%, 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=56, slow=96 |
10.2% | -67.1% | 0.44 | 0.15 | 13.2x | 69 | 55% |
| Donchian 채널 돌파 entryN=86, exitN=76 |
6.6% | -65.4% | 0.36 | 0.10 | 5.4x | 34 | 52% |
| ROC 모멘텀 n=141, threshold=-0.07 |
6.0% | -75.2% | 0.36 | 0.08 | 4.7x | 188 | 66% |
| EMA 크로스오버 fast=67, slow=181 |
5.6% | -76.9% | 0.35 | 0.07 | 4.2x | 33 | 57% |
| Supertrend period=14, mult=5 |
4.6% | -83.2% | 0.32 | 0.06 | 3.3x | 72 | 58% |
| ADX / DI 방향성 period=39, threshold=11 |
1.4% | -86.1% | 0.23 | 0.02 | 1.4x | 184 | 49% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=18, mult=3.7 |
2.6% | -66.0% | 0.23 | 0.04 | 2.0x | 54 | 15% |
| MACD fast=13, slow=87, signal=31 |
0.8% | -70.0% | 0.23 | 0.01 | 1.2x | 226 | 51% |
| 볼린저 밴드 돌파 n=53, k=1.4 |
1.7% | -82.5% | 0.23 | 0.02 | 1.6x | 152 | 36% |
| Parabolic SAR step=0.035, maxStep=0.1 |
-4.8% | -88.1% | 0.08 | -0.05 | 0.3x | 614 | 47% |
| Buy and hold | 6.9% | -88.9% | 0.41 | 0.08 | 5.8x | 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 56-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 56-day average falls below the 96-day average