Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK네트웍스 backtest
10 trend-following strategies were compared on the full daily history of SK네트웍스. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.6%, MDD -58.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -12.2%, drawdown -98.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.6%, MDD -58.0%, Sharpe 0.22, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 40.4%p (CAGR 2.6%, MDD -58.0%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=9, threshold=48 |
2.6% | -58.0% | 0.22 | 0.05 | 2.0x | 80 | 5% |
| 볼린저 밴드 돌파 n=27, k=2.8 |
1.2% | -63.7% | 0.19 | 0.02 | 1.4x | 90 | 13% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=18, mult=2.2 |
-0.3% | -78.3% | 0.17 | -0.00 | 0.9x | 116 | 23% |
| SMA 크로스오버 fast=43, slow=218 |
-0.0% | -76.9% | 0.15 | -0.00 | 1.0x | 31 | 33% |
| Supertrend period=16, mult=4.8 |
-3.5% | -88.2% | 0.11 | -0.04 | 0.4x | 84 | 41% |
| MACD fast=16, slow=49, signal=18 |
-5.5% | -97.0% | 0.09 | -0.06 | 0.2x | 276 | 52% |
| EMA 크로스오버 fast=69, slow=112 |
-2.9% | -87.2% | 0.06 | -0.03 | 0.5x | 37 | 32% |
| Donchian 채널 돌파 entryN=20, exitN=52 |
-8.6% | -97.4% | 0.04 | -0.09 | 0.1x | 107 | 63% |
| ROC 모멘텀 n=43, threshold=-0.03 |
-13.2% | -98.6% | -0.10 | -0.13 | 0.0x | 450 | 53% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-13.2% | -98.6% | -0.13 | -0.13 | 0.0x | 430 | 46% |
| Buy and hold | -12.2% | -98.4% | 0.05 | -0.12 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 9-day) is ≥ 48
- Sell — Sell when direction flips or the trend weakens (ADX < 48)