Trend-Following Backtester · Guide · backtest 한국어
equity · KR
에스피지 backtest
10 trend-following strategies were compared on the full daily history of 에스피지. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.9%, MDD -49.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.5%, drawdown -81.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.4%, MDD -66.2%, Sharpe 0.56, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 15.1%p (CAGR 12.9%, MDD -49.0%, exposure 35%).
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=44, slow=124 |
15.4% | -66.2% | 0.56 | 0.23 | 31.4x | 44 | 52% |
| 볼린저 밴드 돌파 n=74, k=1.4 |
14.4% | -57.3% | 0.55 | 0.25 | 25.1x | 76 | 36% |
| Donchian 채널 돌파 entryN=142, exitN=55 |
12.9% | -49.0% | 0.51 | 0.26 | 18.3x | 26 | 35% |
| EMA 크로스오버 fast=37, slow=68 |
13.0% | -54.0% | 0.51 | 0.24 | 18.9x | 58 | 50% |
| Supertrend period=10, mult=5 |
11.3% | -76.0% | 0.46 | 0.15 | 13.0x | 52 | 55% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=27, mult=2.9 |
9.1% | -49.8% | 0.43 | 0.18 | 8.2x | 60 | 29% |
| ROC 모멘텀 n=131, threshold=0.01 |
8.2% | -66.8% | 0.39 | 0.12 | 6.7x | 188 | 49% |
| ADX / DI 방향성 period=20, threshold=28 |
6.2% | -53.9% | 0.36 | 0.12 | 4.3x | 62 | 15% |
| MACD fast=27, slow=47, signal=31 |
3.4% | -75.2% | 0.27 | 0.04 | 2.2x | 174 | 50% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-3.4% | -91.2% | 0.10 | -0.04 | 0.4x | 411 | 48% |
| Buy and hold | 9.5% | -81.3% | 0.43 | 0.12 | 8.9x | 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 44-day average price crosses above the 124-day average
- Sell — Sell (to cash) when the 44-day average falls below the 124-day average