Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성화재우 backtest
10 trend-following strategies were compared on the full daily history of 삼성화재우. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.2%, MDD -44.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.4%, drawdown -63.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.2%, MDD -44.9%, Sharpe 0.50, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 18.8%p (CAGR 8.2%, MDD -44.9%, exposure 56%).
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=35, slow=178 |
8.2% | -44.9% | 0.50 | 0.18 | 5.2x | 37 | 56% |
| Parabolic SAR step=0.01, maxStep=0.12 |
6.7% | -35.1% | 0.44 | 0.19 | 3.9x | 250 | 51% |
| EMA 크로스오버 fast=52, slow=133 |
6.9% | -48.7% | 0.43 | 0.14 | 4.0x | 37 | 57% |
| Supertrend period=20, mult=4.8 |
5.4% | -41.1% | 0.36 | 0.13 | 3.0x | 55 | 54% |
| Donchian 채널 돌파 entryN=9, exitN=74 |
5.6% | -55.5% | 0.35 | 0.10 | 3.1x | 67 | 88% |
| MACD fast=13, slow=48, signal=17 |
4.1% | -49.4% | 0.32 | 0.08 | 2.3x | 226 | 50% |
| ROC 모멘텀 n=129, threshold=-0.04 |
3.8% | -59.1% | 0.28 | 0.06 | 2.2x | 157 | 70% |
| 볼린저 밴드 돌파 n=35, k=1.1 |
1.6% | -42.3% | 0.18 | 0.04 | 1.4x | 174 | 40% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=9, mult=1.9 |
1.5% | -38.7% | 0.17 | 0.04 | 1.4x | 112 | 34% |
| ADX / DI 방향성 period=30, threshold=11 |
-1.4% | -53.1% | 0.02 | -0.03 | 0.8x | 220 | 47% |
| Buy and hold | 9.4% | -63.7% | 0.47 | 0.15 | 6.5x | 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 35-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 35-day average falls below the 178-day average