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 ROC 모멘텀 (CAGR 15.7%, MDD -63.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.3%, drawdown -86.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.7%, MDD -69.1%, Sharpe 0.62, 55% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 18.8%, MDD -71.3%, exposure 72%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 16.9%p (CAGR 15.7%, MDD -63.0%, exposure 42%).
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 |
18.7% | -69.1% | 0.62 | 0.27 | 51.5x | 41 | 55% |
| EMA 크로스오버 fast=32, slow=77 |
18.6% | -70.6% | 0.62 | 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 |
15.7% | -63.0% | 0.57 | 0.25 | 28.5x | 178 | 42% |
| MACD fast=19, slow=38, signal=11 |
13.6% | -68.9% | 0.52 | 0.20 | 18.7x | 308 | 51% |
| Supertrend period=13, mult=2.5 |
13.2% | -63.7% | 0.51 | 0.21 | 17.4x | 178 | 52% |
| Parabolic SAR step=0.015, maxStep=0.14 |
13.1% | -54.8% | 0.51 | 0.24 | 16.9x | 374 | 50% |
| 볼린저 밴드 돌파 n=46, k=1.2 |
12.0% | -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 | 16.3% | -86.0% | 0.55 | 0.19 | 32.0x | 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