Trend-Following Backtester · Guide · backtest 한국어
equity · KR
서진시스템 backtest
10 trend-following strategies were compared on the full daily history of 서진시스템. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.0%, drawdown -65.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.6%, MDD -65.5%, Sharpe 0.56, 51% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=104, slow=215 |
15.6% | -65.5% | 0.56 | 0.24 | 3.9x | 7 | 51% |
| 볼린저 밴드 돌파 n=43, k=2.4 |
10.5% | -49.5% | 0.49 | 0.21 | 2.5x | 32 | 25% |
| Donchian 채널 돌파 entryN=156, exitN=13 |
9.3% | -31.3% | 0.46 | 0.30 | 2.3x | 16 | 17% |
| ADX / DI 방향성 period=18, threshold=29 |
7.5% | -42.3% | 0.43 | 0.18 | 2.0x | 14 | 10% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=27, mult=3.7 |
7.4% | -42.2% | 0.40 | 0.18 | 2.0x | 18 | 19% |
| Supertrend period=10, mult=2.2 |
6.7% | -66.7% | 0.36 | 0.10 | 1.8x | 100 | 53% |
| ROC 모멘텀 n=181, threshold=0.01 |
5.0% | -65.5% | 0.33 | 0.08 | 1.6x | 73 | 53% |
| EMA 크로스오버 fast=44, slow=274 |
4.0% | -66.0% | 0.31 | 0.06 | 1.4x | 13 | 57% |
| Parabolic SAR step=0.05, maxStep=0.1 |
4.6% | -68.2% | 0.30 | 0.07 | 1.5x | 242 | 50% |
| MACD fast=9, slow=28, signal=17 |
1.5% | -67.5% | 0.21 | 0.02 | 1.2x | 156 | 50% |
| Buy and hold | 16.0% | -65.5% | 0.55 | 0.24 | 4.0x | 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 104-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 104-day average falls below the 215-day average