Trend-Following Backtester · Guide · backtest 한국어
equity · KR
에스앤에스텍 backtest
10 trend-following strategies were compared on the full daily history of 에스앤에스텍. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.6%, MDD -27.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.0%, drawdown -82.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.5%, MDD -56.3%, Sharpe 0.73, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 10.6%, MDD -27.7%, exposure 11%).
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=28, slow=158 |
23.5% | -56.3% | 0.73 | 0.42 | 39.3x | 30 | 46% |
| Donchian 채널 돌파 entryN=109, exitN=60 |
22.3% | -49.1% | 0.73 | 0.45 | 33.1x | 16 | 37% |
| EMA 크로스오버 fast=55, slow=86 |
23.4% | -57.4% | 0.73 | 0.41 | 38.6x | 28 | 45% |
| ADX / DI 방향성 period=37, threshold=11 |
22.6% | -60.9% | 0.71 | 0.37 | 34.3x | 110 | 43% |
| ROC 모멘텀 n=144, threshold=0.24 |
20.8% | -51.5% | 0.70 | 0.40 | 26.8x | 52 | 31% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=17, mult=3.9 |
10.6% | -27.7% | 0.57 | 0.38 | 5.7x | 18 | 11% |
| MACD fast=27, slow=64, signal=31 |
10.3% | -74.7% | 0.45 | 0.14 | 5.5x | 123 | 52% |
| Supertrend period=18, mult=3.1 |
10.1% | -70.9% | 0.44 | 0.14 | 5.4x | 90 | 51% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
8.6% | -47.2% | 0.44 | 0.18 | 4.2x | 30 | 17% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.3% | -81.2% | 0.28 | 0.04 | 1.8x | 135 | 49% |
| Buy and hold | 9.0% | -82.5% | 0.43 | 0.11 | 4.5x | 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 28-day average price crosses above the 158-day average
- Sell — Sell (to cash) when the 28-day average falls below the 158-day average