Trend-Following Backtester · Guide · backtest 한국어
equity · KR
심텍 backtest
10 trend-following strategies were compared on the full daily history of 심텍. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 30.4%, MDD -52.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 25.0%, drawdown -82.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 39.2%, MDD -59.4%, Sharpe 0.92, 64% exposure.
Return/drawdown alternative: Supertrend — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR 30.4%, MDD -52.2%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=49, exitN=76 |
39.2% | -59.4% | 0.92 | 0.66 | 38.9x | 15 | 64% |
| SMA 크로스오버 fast=37, slow=242 |
35.1% | -59.4% | 0.87 | 0.59 | 28.0x | 9 | 54% |
| EMA 크로스오버 fast=15, slow=127 |
33.9% | -59.4% | 0.85 | 0.57 | 25.3x | 25 | 56% |
| ROC 모멘텀 n=198, threshold=-0.02 |
33.3% | -59.4% | 0.84 | 0.56 | 24.1x | 47 | 56% |
| Supertrend period=10, mult=4.9 |
30.4% | -52.2% | 0.79 | 0.58 | 18.9x | 24 | 67% |
| ADX / DI 방향성 period=31, threshold=11 |
28.3% | -59.5% | 0.77 | 0.48 | 15.7x | 95 | 55% |
| 볼린저 밴드 돌파 n=15, k=2.7 |
13.6% | -31.1% | 0.70 | 0.44 | 4.1x | 36 | 12% |
| Parabolic SAR step=0.01, maxStep=0.16 |
17.4% | -45.0% | 0.61 | 0.39 | 5.9x | 141 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=9, mult=1.1 |
15.3% | -45.7% | 0.56 | 0.34 | 4.8x | 89 | 44% |
| MACD fast=14, slow=32, signal=17 |
10.6% | -67.9% | 0.45 | 0.16 | 3.0x | 149 | 51% |
| Buy and hold | 25.0% | -82.7% | 0.68 | 0.30 | 11.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 49 days
- Sell — Sell when price breaks below the lowest low of the last 76 days