Trend-Following Backtester · Guide · backtest 한국어
equity · KR
스피어 backtest
10 trend-following strategies were compared on the full daily history of 스피어. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.5%, MDD -27.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.2%, drawdown -89.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 56.9%, MDD -44.7%, Sharpe 1.03, 43% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 56.7%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 9.5%, MDD -27.3%, exposure 5%).
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=32, slow=62 |
56.9% | -44.7% | 1.03 | 1.27 | 11.2x | 16 | 43% |
| Supertrend period=28, mult=5 |
51.3% | -62.6% | 0.96 | 0.82 | 9.2x | 10 | 44% |
| Keltner 채널 돌파 emaPeriod=118, atrPeriod=39, mult=2.2 |
46.7% | -39.6% | 0.95 | 1.18 | 7.8x | 8 | 32% |
| ROC 모멘텀 n=70, threshold=0.16 |
46.3% | -45.8% | 0.94 | 1.01 | 7.7x | 24 | 33% |
| EMA 크로스오버 fast=31, slow=42 |
41.5% | -48.9% | 0.87 | 0.85 | 6.4x | 10 | 37% |
| Donchian 채널 돌파 entryN=83, exitN=56 |
38.7% | -44.6% | 0.85 | 0.87 | 5.8x | 6 | 35% |
| 볼린저 밴드 돌파 n=43, k=3 |
20.5% | -48.0% | 0.63 | 0.43 | 2.7x | 14 | 19% |
| ADX / DI 방향성 period=19, threshold=38 |
9.5% | -27.3% | 0.49 | 0.35 | 1.6x | 6 | 5% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.6% | -85.8% | 0.31 | 0.01 | 1.0x | 44 | 41% |
| MACD fast=13, slow=52, signal=17 |
-6.4% | -91.7% | 0.20 | -0.07 | 0.7x | 66 | 47% |
| Buy and hold | 0.2% | -89.3% | 0.43 | 0.00 | 1.0x | 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 32-day average price crosses above the 62-day average
- Sell — Sell (to cash) when the 32-day average falls below the 62-day average