Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성화재 backtest
10 trend-following strategies were compared on the full daily history of 삼성화재. 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 11.1%, drawdown -61.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.7%, MDD -67.5%, Sharpe 0.40, 62% 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=56, slow=183 |
7.7% | -67.5% | 0.40 | 0.11 | 7.2x | 41 | 62% |
| ROC 모멘텀 n=126, threshold=-0.09 |
5.7% | -69.0% | 0.33 | 0.08 | 4.3x | 189 | 83% |
| EMA 크로스오버 fast=57, slow=165 |
5.4% | -75.2% | 0.33 | 0.07 | 4.1x | 45 | 62% |
| Donchian 채널 돌파 entryN=15, exitN=77 |
5.0% | -63.5% | 0.32 | 0.08 | 3.7x | 63 | 85% |
| Supertrend period=15, mult=4.5 |
0.6% | -74.6% | 0.17 | 0.01 | 1.2x | 81 | 61% |
| Keltner 채널 돌파 emaPeriod=96, atrPeriod=10, mult=3 |
-1.9% | -76.9% | 0.03 | -0.02 | 0.6x | 77 | 34% |
| ADX / DI 방향성 period=32, threshold=19 |
-1.1% | -61.3% | 0.03 | -0.02 | 0.7x | 60 | 17% |
| MACD fast=31, slow=34, signal=24 |
-4.5% | -89.3% | -0.05 | -0.05 | 0.3x | 260 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.3% | -81.5% | -0.06 | -0.07 | 0.2x | 218 | 54% |
| 볼린저 밴드 돌파 n=44, k=1.6 |
-5.3% | -90.1% | -0.11 | -0.06 | 0.2x | 186 | 38% |
| Buy and hold | 11.1% | -61.6% | 0.47 | 0.18 | 16.5x | 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 56-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 56-day average falls below the 183-day average