Trend-Following Backtester · Guide · backtest 한국어
equity · KR
티씨케이 backtest
10 trend-following strategies were compared on the full daily history of 티씨케이. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 14.5%, MDD -54.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.3%, drawdown -86.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.0%, MDD -69.1%, Sharpe 0.62, 55% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 14.5%, MDD -54.8%, exposure 51%).
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=29, slow=182 |
19.0% | -69.1% | 0.62 | 0.27 | 54.8x | 42 | 55% |
| EMA 크로스오버 fast=32, slow=77 |
18.5% | -70.6% | 0.61 | 0.26 | 50.4x | 60 | 56% |
| Donchian 채널 돌파 entryN=24, exitN=48 |
18.8% | -71.3% | 0.61 | 0.26 | 52.5x | 60 | 72% |
| ROC 모멘텀 n=120, threshold=0.14 |
15.5% | -63.0% | 0.56 | 0.25 | 27.8x | 180 | 42% |
| MACD fast=19, slow=38, signal=11 |
14.6% | -68.9% | 0.54 | 0.21 | 22.9x | 309 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
14.5% | -54.8% | 0.54 | 0.27 | 22.7x | 375 | 51% |
| Supertrend period=13, mult=2.5 |
13.6% | -63.7% | 0.52 | 0.21 | 18.7x | 179 | 52% |
| 볼린저 밴드 돌파 n=46, k=1.2 |
11.9% | -75.6% | 0.49 | 0.16 | 13.4x | 160 | 43% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=2.4 |
8.7% | -59.2% | 0.48 | 0.15 | 6.8x | 80 | 12% |
| ADX / DI 방향성 period=16, threshold=27 |
7.7% | -59.4% | 0.41 | 0.13 | 5.5x | 126 | 21% |
| Buy and hold | 18.3% | -86.0% | 0.58 | 0.21 | 47.9x | 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 29-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 29-day average falls below the 182-day average